Tractable hedging with additional hedge instruments

DOI10.1007/s11147-010-9056-zzbMath1213.91148MaRDI QIDQ539149

Nicole Branger, Antje Mahayni

Publication date: 27 May 2011

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-010-9056-z

zbMATH Keywords

stochastic volatility; robust hedging; uncertain volatility model; coherent risk measure; additional hedge instrument; tractable hedging

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

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