SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Hedging with Small Uncertainty Aversion · Study

ArticleShelves

ArticleHedging with Small Uncertainty Aversion

Sebastian Herrmann2015

OA

Articlegreen2015

Hedging with Small Uncertainty Aversion

Sebastian Herrmann · Johannes Muhle‐Karbe · Frank Thomas Seifried

17 citations·0/0 files stored·Finance and Stochastics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 17 citations exist upstream.

References

2007Brownian Motion and Stochastic Calculus 1989Maxmin expected utility with non-unique prior 1998Brownian Motion and Stochastic Calculus 2001Robust Control and Model Uncertainty 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES 1998Implied Volatility Functions: Empirical Tests 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences 2004Robust Portfolio Rules and Asset Pricing

Cited by

2018A risk-neutral equilibrium leading to uncertain volatility pricing

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2018A risk-neutral equilibrium leading to uncertain volatility pricingarticle · 19 shared references 2017Pathwise superreplication via Vovk’s outer measurearticle · 15 shared references 2018Robust pricing–hedging dualities in continuous timearticle · 14 shared references 2016The maximum maximum of a martingale with given $\mathbf{n}$ marginalsarticle · 14 shared references 2018The robust pricing–hedging duality for American options in discrete time financial marketsarticle · 14 shared references 2015On robust pricing-hedging duality in continuous timepreprint · 14 shared references

Details

Year2015

Typearticle

Published2015-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/s00780-016-0309-z

openalex_workW2952025076

Links

Imported from OpenAlex (CC0) — nothing here is generated.