Characterization of the value process in robust efficient hedging

DOI10.1007/s10957-012-0168-5zbMath1290.49048OpenAlexW2130359522MaRDI QIDQ2247915

Erick Treviño Aguilar, Daniel Hernández-Hernández

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0168-5

zbMATH Keywords

optimal controlbackward stochastic differential equationpartial hedgingmodel ambiguityvalue process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quadratic BSDEs with convex generators and unbounded terminal conditions
• Continuous exponential martingales and BMO
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Efficient hedging: cost versus shortfall risk
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Utility maximization in incomplete markets
• Pricing Via Utility Maximization and Entropy
• EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA

This page was built for publication: Characterization of the value process in robust efficient hedging