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Hulley, Hardy; McWalter, Thomas A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 83-102

European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk … pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market … an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested …

Persistent link: https://www.econbiz.de/10011552886

Convex hedging of non-superreplicable claims in discrete-time market models

Tkalinski, Tomasz J. - In: Mathematical methods of operations research 79 (2014) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10010347953

Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures

Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 23 (2023) 10, pp. 1411-1430

Persistent link: https://www.econbiz.de/10014419168

Equal risk pricing and hedging of financial derivatives with convex risk measures

Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10012872521

Pricing and Hedging in Incomplete Markets with Model Uncertainty

Balter, Anne - 2018

We search for a trading strategy and the associated robust price of unhedgeable assets in incomplete markets under the acknowledgement of model uncertainty. Our set-up is that we postulate an agent who wants to maximise the expected surplus by choosing an optimal investment strategy....

Persistent link: https://www.econbiz.de/10012937907