Hedging with small uncertainty aversion
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Publication:503389
DOI10.1007/s00780-016-0309-zzbMath1360.91141arXiv1605.06429OpenAlexW3122646574MaRDI QIDQ503389
Sebastian Herrmann, Frank Thomas Seifried, Johannes Muhle-Karbe
Publication date: 12 January 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1605.06429
Utility theory (91B16) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (7)
Model uncertainty, recalibration, and the emergence of delta-vega hedging ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ A risk-neutral equilibrium leading to uncertain volatility pricing ⋮ An expansion in the model space in the context of utility maximization ⋮ Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities ⋮ Adapted Wasserstein distances and stability in mathematical finance
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