Hedging derivatives on two assets with model risk

DOI10.1007/S10690-019-09283-3zbMATH Open1437.91432OpenAlexW1541539499MaRDI QIDQ2180276FDOQ2180276

Authors: Koichi Matsumoto, Keita Shimizu 

Publication date: 13 May 2020

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-019-09283-3

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zbMATH Keywords

hedgingderivativesmodel risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Variance-Optimal Hedging in Discrete Time
• On Quadratic Cost Criteria for Option Hedging
• On the Mean-Variance Hedging Problem
• Title not available (Why is that?)
• Robust mean-variance hedging and pricing of contingent claims in a one period model
• Dynamic programming and mean‐variance hedging in discrete time
• Mean-variance hedging with uncertain trade execution

Cited In (4)

• UNCERTAINTY VERSUS RANDOMNESS: MINIMIZING MODEL DEPENDENCE
• Optimal weak static hedging of equity and credit risk using derivatives
• Optimal Cross Hedging of Insurance Derivatives
• Hedging derivatives with model error

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