Performance of hedging strategies in interval models.

MaRDI QIDQ5389840zbMATH OpenFDO

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

Publication date 23 April 2012

Full work available at URL https://eudml.org/doc/33775, http://www.kybernetika.cz/content/2005/5/575

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)

Recommendations

• The interval market model in mathematical finance. Game-theoretic methods
• The robust control approach to option pricing and interval models: an overview
• A robust hedging algorithm
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• Tractable hedging: An implementation of robust hedging strategies

Cites work

• scientific article; zbMATH DE number 2202836 (Why is no real title available?)
• A robust hedging algorithm
• Coherent measures of risk
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Nonexpansive maps and option pricing theory
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities

Cited in

(3)

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

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