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Delayed Semi-static Hedging in the Continuous Time Bachelier Model

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  • Yan Dolinsky

Abstract

In this work we study the continuous time exponential utility maximization problem in the framework of semi-static hedging.

Suggested Citation

  • Yan Dolinsky, 2023. "Delayed Semi-static Hedging in the Continuous Time Bachelier Model," Papers 2311.17270, arXiv.org, revised Dec 2023.
    • Handle: RePEc:arx:papers:2311.17270
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    References listed on IDEAS

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    1. Guo, Gaoyue & Tan, Xiaolu & Touzi, Nizar, 2017. "Tightness and duality of martingale transport on the Skorokhod space," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 927-956.
    2. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    3. David G. Hobson, 1998. "Robust hedging of the lookback option," Finance and Stochastics, Springer, vol. 2(4), pages 329-347.
    4. Álvaro Cartea & Leandro Sánchez-Betancourt, 2023. "Optimal execution with stochastic delay," Finance and Stochastics, Springer, vol. 27(1), pages 1-47, January.
    5. Peter Bank & Yan Dolinsky, 2020. "A Note on Utility Indifference Pricing with Delayed Information," Papers 2011.05023, arXiv.org, revised Mar 2021.
    6. Yan Dolinsky & Or Zuk, 2023. "Explicit Computations for Delayed Semistatic Hedging," Papers 2308.10550, arXiv.org.
    7. B. Acciaio & M. Beiglböck & F. Penkner & W. Schachermayer, 2016. "A Model-Free Version Of The Fundamental Theorem Of Asset Pricing And The Super-Replication Theorem," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 233-251, April.
    8. Rüdiger Frey, 2000. "Risk Minimization with Incomplete Information in a Model for High‐Frequency Data," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 215-225, April.
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