Tractable hedging: An implementation of robust hedging strategies

DOI10.1016/J.JEDC.2005.06.014MaRDI QIDQ959656zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

model misspecificationstochastic volatilityincomplete marketssuperhedgingrobust hedgingtractable hedging

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1897410 (Why is no real title available?)
• scientific article; zbMATH DE number 1393004 (Why is no real title available?)
• A guided tour through quadratic hedging approaches
• Arbitrage Theory in Continuous Time
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
• Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
• Efficient hedging: cost versus shortfall risk
• Incompleteness of markets driven by a mixed diffusion
• MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Quantile hedging
• Robustness of the Black and Scholes Formula
• Superreplication of Options on Several Underlying Assets
• The pricing of options and corporate liabilities
• Uncertain volatility and the risk-free synthesis of derivatives
• Volatility misspecification, option pricing and superreplication via coupling

Cited in

(3)

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

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