Hedging under worst-case-scenario in a market driven by time-changed Lévy noises. (English) Zbl 1354.91141
Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 465-499 (2016).
Summary: In an incomplete market driven by time-changed Lévy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we study hedging under worst-case-scenario. The proposed strategies are not necessarily self-financing and include the interplay of a cost process to achieve the perfect hedge at the end of the time horizon. The hedging problem is tackled in the framework of stochastic differential games and it is treated via backward stochastic differential equations. Two different information flows are considered and the solutions compared.
For the entire collection see [Zbl 1337.60008].
For the entire collection see [Zbl 1337.60008].
MSC:
| 91G10 | Portfolio theory |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 91A15 | Stochastic games, stochastic differential games |
| 91A23 | Differential games (aspects of game theory) |
Keywords:
model uncertainty; hedging; BSDEs; stochastic differential games; time-change; martingale random fieldsReferences:
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