Robust Mean-Variance Hedging And Pricing Of Contingent Claims In A One Period Model
AbstractIn this paper, we consider the mean-variance hedging problem of contingent claims in a financial market model composed of assets with uncertain price parameters. We consider the worst case of model parameters required to solve the minimax problem. In general, such minimax problems cannot be changed to maximin problems. The main approach we develop is the randomization of the parameters, which allows us to change minimax to maximin problems, which are easier to solve. We provide an explicit solution for the robust mean-variance hedging problem in the single-period model for some types of contingent claims.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.
Volume (Year): 15 (2012)
Issue (Month): 03 ()
Contact details of provider:
Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).
If references are entirely missing, you can add them using this form.