Optimal robust mean-variance hedging in incomplete financial markets

被引：0
作者：
Lazrieva N. [1 ]
Toronjadze T. [1 ]
机构：
[1] Georgian-American University, Business School, Tbilisi, A. Razmadze Mathematical Institute, Tbilisi
来源：
Journal of Mathematical Sciences | 2008年 / 153卷 / 3期
关键词：
Volatility; Asset Price; Trading Strategy; Implied Volatility; Hedging;
D O I：
10.1007/s10958-008-9128-x
中图分类号：
学科分类号：
摘要：
An optimal B-robust estimate is constructed for the multidimensional parameter in the drift coefficient of a diffusion-type process with a small noise. The optimal mean-variance robust (optimal V-robust) trading strategy is to hedge (in the mean-variance sense) the contingent claim in an incomplete financial market with an arbitrary information structure and a misspecified volatility of the asset price, which is modelled by a multidimensional continuous semimartingale. The obtained results are applied to the stochastic volatility model, where the model of the latent volatility process contains the unknown multidimensional parameter in the drift coefficient and a small parameter in the diffusion term. © 2008 Springer Science+Business Media, Inc.
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页码：262 / 290
页数：28
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