Multi-period Mean–Variance Hedging Problem with Model Risk
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Cites work
- A guided tour through quadratic hedging approaches
- An extension of mean-variance hedging to the discontinuous case
- Dynamic programming and mean-variance hedging
- Dynamic programming and mean-variance hedging with partial execution risk
- Dynamic programming and mean‐variance hedging in discrete time
- Hedging by sequential regressions revisited
- Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
- Hedging derivatives on two assets with model risk
- Hedging with small uncertainty aversion
- scientific article; zbMATH DE number 2062291 (Why is no real title available?)
- Mean-variance hedging and numéraire
- Mean-variance hedging for continuous processes: New proofs and examples
- Mean-variance hedging in continuous time
- Mean-variance hedging with uncertain trade execution
- Model uncertainty, recalibration, and the emergence of delta-vega hedging
- On Quadratic Cost Criteria for Option Hedging
- On quadratic hedging in continuous time
- On the Mean-Variance Hedging Problem
- On the structure of general mean-variance hedging strategies
- Partial super-hedging of derivatives with model risk
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Robust mean-variance hedging and pricing of contingent claims in a one period model
- Robust risk measurement and model risk
- Uncertain volatility and the risk-free synthesis of derivatives
- Variance-Optimal Hedging in Discrete Time
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