Some Results on Skorokhod Embedding and Robust Hedging with Local Time
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Optimization Theory and Applications"
DOI: 10.1007/s10957-017-1201-5
Abstract: In this paper, we provide some results on Skorokhod embedding with local time and its applications to the robust hedging problem in finance. First we investigate the robust hedging of options depending on the local… read more here.
Keywords: robust hedging; results skorokhod; embedding robust; local time ... See more keywords
Robust hedging in incomplete markets
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Pension Economics and Finance"
DOI: 10.1017/s1474747218000069
Abstract: Abstract We considered a pension fund that needs to hedge uncertain long-term liabilities. We modeled the pension fund as a robust investor facing an incomplete market and fearing model uncertainty for the evolution of its… read more here.
Keywords: robust hedging; pension; incomplete markets; finance ... See more keywords