Partial super-hedging of derivatives with model risk

DOI10.1007/S13160-017-0267-7MaRDI QIDQ1684775zbMATH OpenOpenAlexFDO

Authors Koichi Matsumoto

Publication date 12 December 2017

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-017-0267-7

zbMATH Keywords

derivativesmodel riskuncertainty of parameter

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cites work

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Efficient hedging: cost versus shortfall risk
• Exact Superreplication Strategies for a Class of Derivative Assets
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• On dynamic measure of risk
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Quantile hedging
• Robust Preferences and Robust Portfolio Choice
• Robustness of the Black and Scholes Formula
• Uncertain volatility and the risk-free synthesis of derivatives

Cited in

(4)

• Hedging derivatives on two assets with model risk
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• VaR-based optimal partial hedging
• Multi-period Mean–Variance Hedging Problem with Model Risk

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