Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
DOI10.1111/J.1467-9965.2010.00425.XzbMATH Open1226.91076OpenAlexW2137808752MaRDI QIDQ3069959FDOQ3069959
Authors: Daniel Hernández-Hernández, Erick Treviño Aguilar 
Publication date: 2 February 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00425.x
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Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)
Cites Work
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- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Convex measures of risk and trading constraints
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Efficient hedging: cost versus shortfall risk
- Efficient hedging with coherent risk measure
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- Risk measure pricing and hedging in incomplete markets
- Duality theory for optimal investments under model uncertainty
- Convex Hedging in Incomplete Markets
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- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
Cited In (8)
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Characterization of the value process in robust efficient hedging
- Title not available (Why is that?)
- Duality Formulas for Robust Pricing and Hedging in Discrete Time
- Testing hypotheses for measures with different masses: Four optimization problems
- Solving the problem of partial hedging through a dual problem
- Proactive hedging European option pricing with a general logarithmic position strategy
- A dual representation of gain-loss hedging for European claims in discrete time
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