Model uncertainty, recalibration, and the emergence of delta-vega hedging
Sebastian Herrmann, Johannes Muhle-Karbe
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Herrmann, Sebastian ; Muhle-Karbe, Johannes |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 4, p. 873-930
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| Subject: | Model uncertainty | Recalibration | Delta-vega hedging | Small uncertainty aversion | Asymptotics | Theorie | Theory | Hedging | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0342-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944452