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Tractable hedging with additional hedge instruments

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  • Nicole Branger
  • Antje Mahayni

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  • Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
    • Handle: RePEc:kap:revdev:v:14:y:2011:i:1:p:85-114
    DOI: 10.1007/s11147-010-9056-z
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    Cited by:

    1. Purba Banerjee & Srikanth Iyer & Shashi Jain, 2023. "Multi-period static hedging of European options," Papers 2310.01104, arXiv.org, revised Oct 2023.

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    More about this item

    Keywords

    Stochastic volatility; Robust hedging; Tractable hedging; Uncertain volatility model; Additional hedge instrument; Coherent risk measure; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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