Pricing and hedging in incomplete markets with model uncertainty
type: Item
instance of: scholarly article
title: Pricing and hedging in incomplete markets with model uncertainty
zbMATH Open document ID: 1431.91351
author: Anne G. Balter
author: Antoon Pelsser
published in: European Journal of Operational Research
publication date: 2020-01-23T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7156868
zbMATH Keywords: finance
zbMATH Keywords: indifference pricing
zbMATH Keywords: hedging
zbMATH Keywords: incomplete markets
zbMATH Keywords: robustness
MaRDI profile type: Publication
full work available at URL: j.ejor.2019.09.054
OpenAlex ID: W3122569458
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Wikidata QID: Q127178376

Pricing and hedging in incomplete markets with model uncertainty (DOI)
DOI: 10.1016/J.EJOR.2019.09.054