Hedging under generalized good-deal bounds and model uncertainty
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More about this item
KeywordsGood-deal bounds; Good-deal hedging; Model uncertainty; Incomplete markets; Multiple priors; Backward stochastic differential equations;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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