Quantile Hedging in a semi-static market with model uncertainty
Year of publication: |
April 2018
|
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Authors: | Bayraktar, Erhan ; Wang, Gu |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 87.2018, 2, p. 197-277
|
Subject: | Quantile hedging | Model uncertainty | Semi-static hedging | Neyman-Pearson Lemma | Hedging | Theorie | Theory | Risiko | Risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
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