Hedging derivatives on two assets with model risk

DOI10.1007/S10690-019-09283-3MaRDI QIDQ2180276zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

hedgingderivativesmodel risk

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 2062291 (Why is no real title available?)
• Dynamic programming and mean‐variance hedging in discrete time
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Mean-variance hedging with uncertain trade execution
• On Quadratic Cost Criteria for Option Hedging
• On the Mean-Variance Hedging Problem
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Robust mean-variance hedging and pricing of contingent claims in a one period model
• Uncertain volatility and the risk-free synthesis of derivatives
• Variance-Optimal Hedging in Discrete Time

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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