Hedging with small uncertainty aversion
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Herrmann, Sebastian ; Muhle-Karbe, Johannes ; Seifried, Frank Thomas |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 1, p. 1-64
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| Subject: | Volatility uncertainty | Ambiguity aversion | Option pricing and hedging | Asymptotics | Hedging | Risikoaversion | Risk aversion | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | Erwartungsnutzen | Expected utility | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0309-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944064