Hedging under generalized good-deal bounds and model uncertainty
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Publication:2408899
DOI10.1007/s00186-017-0588-yzbMath1411.91480arXiv1607.04488OpenAlexW3121221685MaRDI QIDQ2408899
Publication date: 10 October 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.04488
backward stochastic differential equationsincomplete marketsmodel uncertaintymultiple priorsgood-deal boundsgood-deal hedging
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Portfolio theory (91G10)
Related Items (5)
On the Monotone Stability Approach to BSDEs with Jumps: Extensions, Concrete Criteria and Examples ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ An active-set strategy to solve Markov decision processes with good-deal risk measure ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty ⋮ Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness
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