Cost-efficient payoffs under model ambiguity

DOI10.1007/S00780-024-00547-ZMaRDI QIDQ6619586zbMATH OpenFDO

Authors Carole Bernard, Gero Junike, Thibaut Lux, Steven Vanduffel

Publication date 16 October 2024

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00780-024-00547-Z

zbMATH Keywords

cost-efficient payoffsdrift and volatility uncertaintymaxmin utilitymodel ambiguityrobust preferences

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cited in

(1)

• Optimal payoffs under smooth ambiguity

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