Tractable hedging: An implementation of robust hedging strategies

DOI10.1016/J.JEDC.2005.06.014zbMATH Open1162.91365OpenAlexW3122306484MaRDI QIDQ959656FDOQ959656

Authors: Nicole Branger, Antje Mahayni 

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/23400

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zbMATH Keywords

model misspecificationstochastic volatilityincomplete marketssuperhedgingrobust hedgingtractable hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• The pricing of options and corporate liabilities
• Arbitrage Theory in Continuous Time
• Quantile hedging
• A guided tour through quadratic hedging approaches
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Uncertain volatility and the risk-free synthesis of derivatives
• Efficient hedging: cost versus shortfall risk
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Robustness of the Black and Scholes Formula
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Volatility misspecification, option pricing and superreplication via coupling
• Incompleteness of markets driven by a mixed diffusion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• Superreplication of Options on Several Underlying Assets

Cited In (3)

• Performance of hedging strategies in interval models.
• It only takes a few moments to hedge options
• Tractable hedging with additional hedge instruments

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