Robust mean-variance hedging in the single period model

We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.

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Year of publication:	2009-08
Authors:	Tevzadze, R. ; Uzunashvili, T.
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005099357