Efficient hedging under ambiguity in continuous time

DOI10.1186/s41546-020-00048-9zbMath1457.91392arXiv1812.10876OpenAlexW3081797730MaRDI QIDQ2223112

Ludovic Tangpi

Publication date: 28 January 2021

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10876

zbMATH Keywords

risk measureacceptance setvolatility uncertaintymodel ambiguitysuperhedgingoptimized certainty equivalent

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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