A risk reserve model for hedging in incomplete markets

DOI10.1016/J.JEDC.2010.02.005MaRDI QIDQ975891zbMATH OpenOpenAlexFDO

Authors Vera Minina, M. H. Vellekoop

Publication date 11 June 2010

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

Full work available at URL https://doi.org/10.1016/j.jedc.2010.02.005

zbMATH Keywords

contingent claimsrisk measuresincomplete markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24)

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• scientific article; zbMATH DE number 1304728

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Approximation pricing and the variance-optimal martingale measure
• Dynamic programming and stochastic control
• Efficient hedging: cost versus shortfall risk
• Mean-variance hedging for general claims
• PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
• Quantile hedging
• Stochastic optimal control. The discrete time case

Cited in

(7)

• Pricing and hedging in incomplete markets with model uncertainty
• Utility based pricing of contingent claims in incomplete markets
• Residual risks and hedging strategies in Markovian markets
• Dynamic hedging in incomplete markets using risk measures
• Risk measure pricing and hedging in incomplete markets
• Option market making under inventory risk
• Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

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