Hedging with small uncertainty aversion

被引:8
|
作者
Herrmann, Sebastian [1 ]
Muhle-Karbe, Johannes [1 ]
Seifried, Frank Thomas [2 ]
机构
[1] Univ Michigan, Dept Math, 530 Church St, Ann Arbor, MI 48109 USA
[2] Univ Trier, Dept Math 4, Univ Ring 19, D-54296 Trier, Germany
关键词
Volatility uncertainty; Ambiguity aversion; Option pricing and hedging; Asymptotics; MODEL UNCERTAINTY; SUPERREPLICATION; ROBUSTNESS; ARBITRAGE; BOUNDS;
D O I
10.1007/s00780-016-0309-z
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas for prices and hedging strategies in terms of the security's cash gamma.
引用
收藏
页码:1 / 64
页数:64
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