Quantile Hedging in a semi-static market with model uncertainty
Erhan Bayraktar, Gu Wang
| Year of publication: |
April 2018
|
|---|---|
| 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 | Theorie | Theory | Hedging | Portfolio-Management | Portfolio selection | Risiko | Risk | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0616-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011873985