Partial super-hedging of derivatives with model risk

研究成果: Contribution to journalArticle査読

抄録

This paper studies a hedging problem in the market where an investor can observe a risky asset price process but he does not know true parameters of this process. The investor is assumed to hedge derivatives on the risky asset by a partial super-hedging strategy in order to cut the hedging cost. We show two partial differential equations which play an important role to solve the optimal hedging cost and an optimal strategy. Further we analyze the optimal hedging cost numerically by trinomial models.

本文言語英語
ページ(範囲)811-831
ページ数21
ジャーナルJapan Journal of Industrial and Applied Mathematics
34
3
DOI
出版ステータス出版済み - 11 1 2017

All Science Journal Classification (ASJC) codes

  • Engineering(all)
  • Applied Mathematics

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