Efficient hedging under ambiguity in continuous time
Work
Year: 2020
Type: article
Abstract: It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion base... more
Author Ludovic Tangpi
Institution Princeton University
Cites: 37
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Related to: 10
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Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid