ORCID: https://orcid.org/0000-0001-9801-5259; Mancin, Jacopo and Brandis, Thilo Meyer
(2019):
Robust mean-variance hedging via G-expectation.
In: Stochastic Processes and Their Applications, Vol. 129, No. 4: pp. 1287-1325
Abstract
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a continuous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim. (C) 2018 Elsevier B.V. All rights reserved.
Item Type: | Journal article |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 0304-4149 |
Language: | English |
Item ID: | 82386 |
Date Deposited: | 15. Dec 2021, 15:01 |
Last Modified: | 08. Sep 2024, 18:13 |