Partial hedging in rough volatility models

DOI10.1137/23M1583090MaRDI QIDQ6585785zbMATH OpenFDO

Authors Edouard Motte, Donatien Hainaut

Publication date 12 August 2024

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M1583090

zbMATH Keywords

dual control methodHamilton-Jacobi-BellmanMarkov approximationpartial hedgingrough volatilitystochastic control

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Duality theory (optimization) (49N15) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stochastic control (93E20)

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Cites work

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Cited in

(1)

• Efficient hedging of life insurance portfolio for loss-averse insurers

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