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.
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页码:1 / 64
页数:64
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