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Hedging with Small Uncertainty Aversion
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References

  • 2007Brownian Motion and Stochastic Calculus7,541 cited
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  • 1998Brownian Motion and Stochastic Calculus2,075 cited
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  • 1980MULTI-DIMENSIONAL DIFFUSION PROCESSES1,311 cited
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  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2006The Volatility Surface: A Practitioner's Guide747 cited
  • 1995Pricing and hedging derivative securities in markets with uncertain volatilities681 cited
  • 2007Robustness430 cited
  • 1995Uncertain volatility and the risk-free synthesis of derivatives364 cited
  • 1998Robustness of the Black and Scholes Formula363 cited
  • 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
  • 2006A theoretical framework for the pricing of contingent claims in the presence of model uncertainty352 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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  • 2018A risk-neutral equilibrium leading to uncertain volatility pricing16 cited