Optimal hedging and parameter uncertainty
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Publication:5432706
DOI10.1093/imaman/dpm022zbMath1152.91539OpenAlexW2067067105MaRDI QIDQ5432706
Publication date: 18 December 2007
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:409fe842-a15b-4930-891f-8f9dc738b10d
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Related Items (7)
Consumption utility-based pricing and timing of the option to invest with partial information ⋮ Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk ⋮ PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS ⋮ Asymptotic analysis of utility-based hedging strategies for small number of contingent claims ⋮ A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging ⋮ Utility-Based Valuation and Hedging of Basis Risk With Partial Information ⋮ BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk
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