Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23400
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dc.contributor.authorBranger, Nicoleen_US
dc.contributor.authorMahayni, Antjeen_US
dc.date.accessioned2009-01-29T16:05:19Z-
dc.date.available2009-01-29T16:05:19Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/23400-
dc.description.abstractThis paper provides a theoretical and numerical analysis of robusthedging strategies in diffusion?type models including stochastic volatilitymodels. A robust hedging strategy avoids any losses as long as therealised volatility stays within a given interval. We focus on the effectsof restricting the set of admissible strategies to tractable strategieswhich are defined as the sum over Gaussian strategies. Although atrivial Gaussian hedge is either not robust or prohibitively expensive,this is not the case for the cheapest tractable robust hedge which consistsof two Gaussian hedges for one long and one short position inconvex claims which have to be chosen optimally.en_US
dc.language.isoengen_US
dc.relation.ispartofseries|aWorking paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting |x135en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordStochastic volatilityen_US
dc.subject.keywordrobust hedgingen_US
dc.subject.keywordtractable hedgingen_US
dc.subject.keywordmodel misspecificationen_US
dc.subject.keywordincomplete marketsen_US
dc.subject.stwHedgingen_US
dc.subject.stwStrategieen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleTractable Hedging: An Implementation of Robust Hedging Strategiesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn474583112en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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