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 …

decomposition to the problem of hedging European and American style contingent claims in a setting of incomplete security markets. …

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 … tractable hedging strategy is defined as the sum over Black-Scholes strategies. For a convex (concave) payoff, the cheapest …

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of … hedging instruments from a given set of traded assets, in particular of zero coupon bonds, is studied. Misspecified hedging …

in discrete time. Therefore, the hedging bias which originates from the effects of time-discretising strategies is … analysed. It turns out that a systematic hedging bias can only be avoided if a discrete-time hedging model is used. It is shown … how the robustness property for convex payoffs is recovered while at the same time the hedging bias is avoided. …

We develop a new approach to pricing and hedging contingent claims in incomplete markets framework the no … et al. we can derive unique prices and corresponding optimal hedging strategies without invoking specific assumptions on …