Tractable hedging with additional hedge instruments (Q539149): Difference between revisions
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Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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Property / zbMATH DE Number: 5900593 / rank | |||
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stochastic volatility | |||
Property / zbMATH Keywords: stochastic volatility / rank | |||
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robust hedging | |||
Property / zbMATH Keywords: robust hedging / rank | |||
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tractable hedging | |||
Property / zbMATH Keywords: tractable hedging / rank | |||
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uncertain volatility model | |||
Property / zbMATH Keywords: uncertain volatility model / rank | |||
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additional hedge instrument | |||
Property / zbMATH Keywords: additional hedge instrument / rank | |||
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coherent risk measure | |||
Property / zbMATH Keywords: coherent risk measure / rank | |||
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Revision as of 10:46, 1 July 2023
scientific article
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English | Tractable hedging with additional hedge instruments |
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Statements
Tractable hedging with additional hedge instruments (English)
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27 May 2011
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stochastic volatility
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robust hedging
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tractable hedging
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uncertain volatility model
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additional hedge instrument
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coherent risk measure
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