Howe, M A; Rustem, B; Selby, M J P - In: Computational Economics 7 (1994) 4, pp. 245-75
We present several variants of a robust risk management strategy based on minimax for the writer of a European call option on a stock and show that it performs at least as well as the standard hedging strategy, delta hedging. When using the minimax strategy, the hedger specifies a worst case...