Branger, Nicole; Mahayni, Antje - Fachbereich Wirtschaftswissenschaft, Goethe … - 2006
This paper analyzes tractable robust hedging strategies in diffusion-type models including stochastic volatility models …. A robust hedging strategy avoids any losses as long as volatility stays within a given interval. It does not depend on … tractable hedging strategy is defined as the sum over Black-Scholes strategies. For a convex (concave) payoff, the cheapest …