Resource title

Tractable Hedging : An Implementation of Robust Hedging Strategies

Resource image

image for OpenScout resource :: Tractable Hedging : An Implementation of Robust Hedging Strategies

Resource description

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.

Resource author

Nicole Branger, Antje Mahayni

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/23400

Resource license

Adapt according to the presented license agreement and reference the original author.