TAKAHASHI, AKIHIKO; TSUZUKI, YUKIHIRO; YAMAZAKI, AKIRA - In: International Journal of Theoretical and Applied … 14 (2011) 04, pp. 485-505
This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a … only an underlying asset owing to volatility risk. Then, for hedging uncertain volatility risk, we design the polynomial …