Performance of hedging strategies in interval models.

zbMATH Open1249.62013MaRDI QIDQ5389840FDOQ5389840

Authors: Berend Roorda, J. C. Engwerda, Johannes M. Schumacher 

Publication date: 23 April 2012

Full work available at URL: https://eudml.org/doc/33775

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zbMATH Keywords

option pricingrobustnessdelta hedginguncertain volatilitybinomial tree martingale measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic processes (60G99)

Cites Work

• The pricing of options and corporate liabilities
• Coherent measures of risk
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Option pricing: A simplified approach
• Nonexpansive maps and option pricing theory
• Title not available (Why is that?)
• A robust hedging algorithm

Cited In (3)

• Trajectory based market models: evaluation of minmax price bounds
• Robust Control Approach to Digital Option Pricing:Synthesis Approach
• Trajectory based market models, evaluation of minmax price bounds

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