Showing 1 - 3 of 3
We study a notion of good-deal hedging, that corresponds to good-deal valuation and is described by a uniform supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of correspondences for the Girsanov kernels of pricing...
Persistent link: https://www.econbiz.de/10012972303
We derive robust good-deal hedges and valuations under combined model ambiguity about the drift and volatility of asset prices for incomplete markets. Good-deal valuations are determined such that not just opportunities for arbitrage but also for overly attractive reward-to-risk ratios are...
Persistent link: https://www.econbiz.de/10012934249
Persistent link: https://www.econbiz.de/10011714399