Search Results - subject:"Robust hedging"

Robust deep hedging

Lütkebohmert, Eva; Falk, Thorsten; Sester, Julian - In: Quantitative finance 22 (2022) 8, pp. 1465-1480

Persistent link: https://www.econbiz.de/10013367922

Semi-robust replication of barrier-style claims on price and volatility

Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559

Persistent link: https://www.econbiz.de/10013411770

Model uncertainty and the pricing of American options

Hobson, David G.; Neuberger, Anthony - In: Finance and stochastics 21 (2017) 1, pp. 285-329

Persistent link: https://www.econbiz.de/10011944370

Change of numeraire in the two-marginals martingale transport problem

Campi, Luciano; Laachir, Ismail; Martini, Claude - In: Finance and stochastics 21 (2017) 2, pp. 471-486

Persistent link: https://www.econbiz.de/10011944399

Bounds for VIX futures given S&P 500 smiles

Guyon, Julien; Menegaux, Romain; Nutz, Marcel - In: Finance and stochastics 21 (2017) 3, pp. 593-630

Persistent link: https://www.econbiz.de/10011944412

Superreplication of financial derivatives via convex programming

Kahalé, Nabil - In: Management science : journal of the Institute for … 63 (2017) 7, pp. 2323-2339

Persistent link: https://www.econbiz.de/10011729383

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - 2008

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark....

Persistent link: https://www.econbiz.de/10009447448

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - In: BuR - Business Research 1 (2008) 1, pp. 55-76

Persistent link: https://www.econbiz.de/10010421324

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - In: BuR - Business Research 1 (2008) 1, pp. 55-76

, defined-contribution pension plans, life-insurance, uncertain volatility, conservative pricing, robust hedging, model … robust hedging strategy, including the defi- nition of the cost process for imperfect hedges … Section 5 considers conserva- tive contract specifications arising from dynamic robust hedging strategies. The cost process of …

Persistent link: https://www.econbiz.de/10010615507

Robust hedging with proportional transaction costs

Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347

Persistent link: https://www.econbiz.de/10010340734