Optimal hedging and parameter uncertainty
From MaRDI portal
Publication:5432706
DOI10.1093/imaman/dpm022zbMath1152.91539MaRDI QIDQ5432706
Publication date: 18 December 2007
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:409fe842-a15b-4930-891f-8f9dc738b10d
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging, PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS, Consumption utility-based pricing and timing of the option to invest with partial information, Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk, Asymptotic analysis of utility-based hedging strategies for small number of contingent claims, BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk, Utility-Based Valuation and Hedging of Basis Risk With Partial Information