Robust Mean-Variance Hedging via G-Expectation
Mathematical Finance
2016-08-26 v2
Abstract
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim.
Keywords
Cite
@article{arxiv.1602.05484,
title = {Robust Mean-Variance Hedging via G-Expectation},
author = {Francesca Biagini and Jacopo Mancin and Thilo Meyer Brandis},
journal= {arXiv preprint arXiv:1602.05484},
year = {2016}
}