Pricing and hedging in incomplete markets with model uncertainty
From MaRDI portal
Publication:2286877
DOI10.1016/j.ejor.2019.09.054zbMath1431.91351OpenAlexW3122569458WikidataQ127178376 ScholiaQ127178376MaRDI QIDQ2286877
Antoon Pelsser, Anne G. Balter
Publication date: 23 January 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2019.09.054
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items
Robust consumption and portfolio choice with derivatives trading, Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, Individual antecedents of real options appraisal: the role of national culture and ambiguity, Numerical solutions of an option pricing rainfall weather derivatives model, Quantifying ambiguity bounds via time-consistent sets of indistinguishable models, Optimal investment under ambiguous technology shocks, Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Model Confidence Set
- Uncertainty and inside information
- The robust Merton problem of an ambiguity averse investor
- Error expansion for the discretization of backward stochastic differential equations
- Time-consistent actuarial valuations
- A note on the Swiss solvency test risk measure
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Robust portfolios: contributions from operations research and finance
- Maxmin expected utility with non-unique prior
- A closed-form solution to the problem of super-replication under transaction costs
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- A general version of the fundamental theorem of asset pricing
- Robust portfolio decisions for financial institutions
- Robust reinsurance contracts with uncertainty about jump risk
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- An example of indifference prices under exponential preferences
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Recent developments in robust portfolios with a worst-case approach
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- Backward stochastic partial differential equations related to utility maximization and hedging
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- Robust control of parabolic stochastic partial differential equations under model uncertainty
- Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
- Robust utility maximization with limited downside risk in incomplete markets
- Inf-convolution of risk measures and optimal risk transfer
- Robust control and model misspecification
- Utility maximization in incomplete markets
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- Solving BSDE with Adaptive Control Variate
- Dynamic Hedging Under Jump Diffusion with Transaction Costs
- OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- Robust One-Period Option Hedging
- Robust utility maximization in a stochastic factor model
- SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS
- Viscosity Solutions of Hamilton-Jacobi Equations
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects
- Optimal Investment
- Super-replication in stochastic volatility models under portfolio constraints
- Portfolio management in a stochastic factor model under the existence of private information
- Robust Portfolio Choice and Indifference Valuation
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Optimal Control and Hedging of Operations in the Presence of Financial Markets
- A Smooth Model of Decision Making under Ambiguity
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Robustness
- Robust Portfolio Selection Problems
- On Distributions of Certain Wiener Functionals
- A solution approach to valuation with unhedgeable risks
- Claim pricing and hedging under market incompleteness and ``mean-variance preferences
