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dc.contributor.authorBranger, Nicoleen_US
dc.contributor.authorMahayni, Antjeen_US
dc.description.abstractThis paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion?type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of restricting the set of admissible strategies to tractable strategies which are defined as the sum over Gaussian strategies. Although a trivial Gaussian hedge is either not robust or prohibitively expensive, this is not the case for the cheapest tractable robust hedge which consists of two Gaussian hedges for one long and one short position in convex claims which have to be chosen optimally.en_US
dc.relation.ispartofseriesWorking paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting 135en_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.stwStochastischer Prozessen_US
dc.titleTractable Hedging: An Implementation of Robust Hedging Strategiesen_US
dc.typeWorking Paperen_US
Appears in Collections:Working Paper Series: Finance and Accounting, Universität Frankfurt a. M.

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