We develop a robust optimal dynamic hedging strategy that takes both downside risks and market incompleteness into … hedging can be decreased by following the robust strategy …

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market … incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging … proposed theoretical approach are illustrated with an application on hedging economic risk …

The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …

We present a novel computational approach for quadratic hedging in a high-dimensional incomplete market. This covers … both mean-variance hedging and local risk minimization. In the first case, the solution is linked to a system of BSDEs, one …, we solve high-dimensional quadratic hedging problems, providing the entire hedging strategies paths, which, in …

explicit optimal portfolios or hedging strategies under realistic assumptions …

applied in Part II to study the Snell envelop and american options. The measurability and right-continuity of the former is …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

price subdiffusive European call and put options by using Monte Carlo approach is presented. …