Tractable hedging: An implementation of robust hedging strategies

DOI10.1016/j.jedc.2005.06.014zbMath1162.91365OpenAlexW3122306484MaRDI QIDQ959656

Antje Mahayni, Nicole Branger

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/23400

zbMATH Keywords

stochastic volatilityincomplete marketsrobust hedgingmodel misspecificationsuperhedgingtractable hedging

Mathematics Subject Classification ID

Related Items (2)

It only takes a few moments to hedge options ⋮ Tractable hedging with additional hedge instruments

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Volatility misspecification, option pricing and superreplication via coupling
• Efficient hedging: cost versus shortfall risk
• Incompleteness of markets driven by a mixed diffusion
• Quantile hedging
• Robustness of the Black and Scholes Formula
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• Superreplication of Options on Several Underlying Assets
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• Arbitrage Theory in Continuous Time

This page was built for publication: Tractable hedging: An implementation of robust hedging strategies