Hedging under generalized good-deal bounds and model uncertainty
Autor: | Becherer, Dirk, Kentia, Klebert |
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Rok vydání: | 2016 |
Předmět: | |
Zdroj: | Math Meth Oper Res (2017), 86/1, 171-214 |
Druh dokumentu: | Working Paper |
DOI: | 10.1007/s00186-017-0588-y |
Popis: | We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative component in good-deal hedging, which is shown to be equivalent to a global risk-minimization in the sense of F\"ollmer and Sondermann (1986) if uncertainty is sufficiently large. Constructive results on hedges and valuations are derived from backward stochastic differential equations, including new examples with explicit formulas. Comment: 30 pages, 2 figures, 1 table. Revised Version |
Databáze: | arXiv |
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