Misspecified asset price models and robust hedging strategies

DOI10.1080/135048697334818zbMath1009.91018OpenAlexW2013794142MaRDI QIDQ4541540

G. H. Swindle, Muni, Hyungsok Ahn Adviti

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048697334818

zbMATH Keywords

hedgingoption pricingstrategiesasset price

Mathematics Subject Classification ID

Related Items (5)

Optimal hedging strategies for misspecified asset price models ⋮ Robust utility maximization for a diffusion market model with misspecified coefficients ⋮ Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Hedging with small uncertainty aversion ⋮ Static hedging of multivariate derivatives by simulation

Cites Work

• The Pricing of Options and Corporate Liabilities
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
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