ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION

DOI10.1142/S0219024910006121zbMath1207.91066MaRDI QIDQ3067765

Keita Owari

Publication date: 13 January 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

hedgingdualityutility maximizationmodel uncertainty

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic models in economics (91B70) Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

A note on utility maximization with unbounded random endowment

Cites Work

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