Quantile Hedging in a semi-static market with model uncertainty
Author:
Funder
National Science Foundation
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/article/10.1007/s00186-017-0616-y/fulltext.html
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3. Bank P, Dolinsky Y, Gökay S (2016) Super-replication with nonlinear transaction costs and volatility uncertainty. Ann Appl Probab 26:1698–1726
4. Bayraktar E, Huang Y-J, Song Q (2012) Outperforming the market portfolio with a given probability. Ann Appl Probab 22:1465–1494
5. Bayraktar E, Huang Y-J, Zhou Z (2015) On hedging American options under model uncertainty. SIAM J Financ Math 6:425–447
Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Quantile Hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint;Journal of Computational and Applied Mathematics;2024-08
2. Quantile hedging for contingent claims in an uncertain financial environment;AIMS Mathematics;2023
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