Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23400 
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dc.contributor.authorBranger, Nicoleen
dc.contributor.authorMahayni, Antjeen
dc.date.accessioned2009-01-29T16:05:19Z-
dc.date.available2009-01-29T16:05:19Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/23400-
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
dc.language.isoengen
dc.publisher|aJohann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |cFrankfurt a. M.en
dc.relation.ispartofseries|aWorking Paper Series: Finance & Accounting |x135en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordStochastic volatilityen
dc.subject.keywordrobust hedgingen
dc.subject.keywordtractable hedgingen
dc.subject.keywordmodel misspecificationen
dc.subject.keywordincomplete marketsen
dc.subject.stwHedgingen
dc.subject.stwStrategieen
dc.subject.stwVolatilitäten
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleTractable Hedging: An Implementation of Robust Hedging Strategies-
dc.typeWorking Paperen
dc.identifier.ppn474583112en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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