This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of...

This paper analyzes tractable robust hedging strategies in diffusion-type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as volatility stays within a given interval. It does not depend on the exact specification of the volatility process and...