Hedging derivatives on two assets with model risk

DOI10.1007/s10690-019-09283-3zbMath1437.91432OpenAlexW1541539499MaRDI QIDQ2180276

Koichi Matsumoto, Keita Shimizu

Publication date: 13 May 2020

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09283-3

zbMATH Keywords

hedgingderivativesmodel risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Mean-Variance Hedging with Uncertain Trade Execution
• On Quadratic Cost Criteria for Option Hedging
• Dynamic programming and mean‐variance hedging in discrete time
• Variance-Optimal Hedging in Discrete Time
• On the Mean-Variance Hedging Problem
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives

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