Efficient hedging under ambiguity in continuous time

Ludovic Tangpi

doi:10.1186/s41546-020-00048-9

Efficient hedging under ambiguity in continuous time

Ludovic Tangpi

Operations Research & Financial Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks. Combining existing aggregation and convex dual representation theorems, we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.

Original language	English (US)
Article number	6
Journal	Probability, Uncertainty and Quantitative Risk
Volume	5
DOIs	https://doi.org/10.1186/s41546-020-00048-9
State	Published - Jan 2020

All Science Journal Classification (ASJC) codes

Statistics and Probability
Applied Mathematics
Statistics, Probability and Uncertainty

Keywords

Acceptance set
model ambiguity
Optimized certainty equivalent
Risk measure
Superhedging
Volatility uncertainty

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10.1186/s41546-020-00048-9

Cite this

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AB - It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks. Combining existing aggregation and convex dual representation theorems, we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.

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KW - Risk measure

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KW - Volatility uncertainty

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Efficient hedging under ambiguity in continuous time

Abstract

All Science Journal Classification (ASJC) codes

Keywords

Access to Document

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