TY  - RPRT
A1  - Branger, Nicole
A1  - Mahayni, Antje
T1  - Tractable hedging - an implementation of robust hedging strategies : [This Version: March 30, 2004]
N2  - This paper provides a theoretical and numerical analysis of robust hedging strategies in diffusion–type models including stochastic volatility models. A robust hedging strategy avoids any losses as long as the realised volatility stays within a given interval. We focus on the effects of restricting the set of admissible strategies to tractable strategies which are defined as the sum over Gaussian strategies. Although a trivial Gaussian hedge is either not robust or prohibitively expensive, this is not the case for the cheapest tractable robust hedge which consists of two Gaussian hedges for one long and one short position in convex claims which have to be chosen optimally.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 135 
KW  - Hedging / Strategie / Volatilität / Stochastischer Prozess / Theorie
KW  - Stochastic volatility
KW  - robust hedging
KW  - tractable hedging
KW  - model misspecification
KW  - incomplete markets
Y1  - 2004
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3723
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-17601
N1  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 135
IS  - March 30, 2004
PB  - Univ., Fachbereich Wirtschaftswiss.
CY  - Frankfurt am Main
ER  -