Hedging under generalized good-deal bounds and model uncertainty
Dirk Becherer, Klebert Kentia
| Year of publication: |
August 2017
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|---|---|
| Authors: | Becherer, Dirk ; Kentia Tonleu, Klébert |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 86.2017, 1, p. 171-214
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| Subject: | Good-deal bounds | Good-deal hedging | Model uncertainty | Incomplete markets | Multiple priors | Backward stochastic differential equations | Hedging | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risiko | Risk | Derivat | Derivative | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0588-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011714399