Robust Exponential Hedging in a Brownian Setting

This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution. Then an optimal strategy will be expressed in terms of the solution to the HJB equation.

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Year of publication:	2009-09
Authors:	Owari, Keita
Institutions:	Institute of Economic Research, Hitotsubashi University
Subject:	Robust Utility Maximization \| Stochastic Control \| Duality

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Extent:	application/pdf
Series:	Global COE Hi-Stat Discussion Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008566290