Tractable hedging with additional hedge instruments
Nicole Branger; Antje Mahayni
| Year of publication: |
2011
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|---|---|
| Authors: | Branger, Nicole ; Mahayni, Antje |
| Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 14.2011, 1, p. 85-114
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| Subject: | Stochastic volatility | Robust hedging | Tractable hedging | Uncertain volatility model | Additional hedge instrument | Coherent risk measure | Hedging | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Derivat | Derivative | Risiko | Risk | Optionspreistheorie | Option pricing theory |