Characterization of the Value Process in Robust Efficient Hedging
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DOI: 10.1007/s10957-012-0168-5
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References listed on IDEAS
- Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, vol. 4(2), pages 117-146.
- Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
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Keywords
BSDE’s; Partial hedging; Model ambiguity;All these keywords.
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