Cost-efficient payoffs under model ambiguity
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Publication:6619586
DOI10.1007/S00780-024-00547-ZMaRDI QIDQ6619586
Carole Bernard, Thibaut Lux, Steven Vanduffel, Gero Junike
Publication date: 16 October 2024
Published in: Finance and Stochastics (Search for Journal in Brave)
model ambiguitymaxmin utilityrobust preferencescost-efficient payoffsdrift and volatility uncertainty
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
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