Optimal hedging and parameter uncertainty
By Michael Monoyios. 2007
48 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/85166d48e9b770b51a6ac3c3e3f4fff80b9bbdb6
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In Finance
In Management Science and Operations Research
Citations in the corpus
- Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007, methodology): “For example, in the framework of Black and Scholes model with basis risk and for power and exponential utilities, Davis [1] and further Monoyios [13, 14 ] approximate hedging strategies with respect to the small parameter 1 2,”