Hedging under generalized good-deal bounds and model uncertainty

Autor:	Becherer, Dirk, Kentia, Klebert
Rok vydání:	2016
Předmět:	Quantitative Finance - Mathematical Finance Mathematics - Optimization and Control Quantitative Finance - Risk Management 60G44 91G10 93E20 91B06
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
Externí odkaz:	http://arxiv.org/abs/1607.04488 Zobrazit plný text záznamu View this record from Arxiv