Optimal Investment under Model Uncertainty in Nondominated Models
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/100782528
Reference17 articles.
1. Robust Hedging of Barrier Options
2. Robust pricing and hedging of double no-touch options
3. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
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