Hedging with small uncertainty aversion

DOI10.1007/S00780-016-0309-ZzbMath1360.91141arXiv1605.06429OpenAlexW3122646574MaRDI QIDQ503389

Sebastian Herrmann, Frank Thomas Seifried, Johannes Muhle-Karbe

Publication date: 12 January 2017

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.06429

zbMATH Keywords

asymptoticsambiguity aversionvolatility uncertaintyoption pricing and hedging

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ An expansion in the model space in the context of utility maximization ⋮ Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities ⋮ Adapted Wasserstein distances and stability in mathematical finance

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