Robust mean-variance hedging in the single period model
Pricing of Securities
2009-08-07 v1 Optimization and Control
Probability
Risk Management
Abstract
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
Cite
@article{arxiv.0908.0840,
title = {Robust mean-variance hedging in the single period model},
author = {R. Tevzadze and T. Uzunashvili},
journal= {arXiv preprint arXiv:0908.0840},
year = {2009}
}