@techreport{Branger2004Tractable,
abstract = {This 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.},
author = {Nicole Branger and Antje Mahayni},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; G13; 330; Stochastic volatility; robust hedging; tractable hedging; model misspecification; incomplete markets; Hedging; Strategie; Volatilit\"{a}t; Stochastischer Prozess; Theorie},
language = {eng},
number = {135},
title = {Tractable Hedging: An Implementation of Robust Hedging Strategies},
type = {Working paper series / Johann-Wolfgang-Goethe-Universit\"{a}t Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting},
url = {http://hdl.handle.net/10419/23400},
year = {2004}
}