Optimal hedging strategies for misspecified asset price models

DOI10.1080/135048699334537zbMath1009.91035OpenAlexW2057501576MaRDI QIDQ4541577

G. H. Swindle, Hyungsok Ahn, Adviti Muni

Publication date: 4 September 2002

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

Full work available at URL: https://doi.org/10.1080/135048699334537

zbMATH Keywords

utilitypricehedging strategiesasset

Mathematics Subject Classification ID

Related Items (5)

ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL ⋮ 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 ⋮ Volatility misspecification, option pricing and superreplication via coupling

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Misspecified asset price models and robust hedging strategies

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