Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions

DOI10.1142/S0219024903001967MaRDI QIDQ5696867zbMATH OpenOpenAlexFDO

Authors Antje Mahayni

Publication date 19 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024903001967

zbMATH Keywords

change of measurehedging-strategiesmodel misspecificationsuperhedgingtrading restrictions

Mathematics Subject Classification ID

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
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• Approximating random variables by stochastic integrals
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic programming and mean-variance hedging
• Editorial: 20th anniversary of Finance and Stochastics
• From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process¹
• Mean-variance hedging for continuous processes: New proofs and examples
• Mean-variance hedging for general claims
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Option hedging for semimartingales
• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• Option pricing: A simplified approach
• Quantitative analysis in financial markets. Collected papers of the New York Universiity Mathematical Finance Seminar
• Robustness of the Black and Scholes Formula
• Semimartingales and Hedging in Incomplete Markets
• The variance-optimal martingale measure for continuous processes
• Weighted norm inequalities and hedging in incomplete markets

Cited in

(6)

• Effectiveness of CPPI strategies under discrete-time trading
• An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Misspecified asset price models and robust hedging strategies
• Tractable hedging with additional hedge instruments
• Tractable hedging: An implementation of robust hedging strategies

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