DMCA
Optimal robust mean-variance hedging in incomplete financial markets
| Venue: | Journal of Mathematical Sciences |
| Citations: | 3 - 1 self |
BibTeX
@ARTICLE{Lazrieva_optimalrobust,
author = {N. Lazrieva and T. Toronjadze},
title = {Optimal robust mean-variance hedging in incomplete financial markets},
journal = {Journal of Mathematical Sciences},
year = {},
pages = {262--290}
}
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Abstract
Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial market with arbitrary information structure and misspecified volatility of asset price, which is modelled by multidimensional continuous semimartingale. Obtained results are applied to stochastic volatility model, where the model of latent volatility process contains unknown multidimensional parameter in drift coefficient and small parameter in diffusion term.
Keyphrases
incomplete financial market optimal robust mean-variance hedging drift coefficient small noise latent volatility process contingent claim multidimensional parameter optimal mean-variance robust diffusion term arbitrary information structure optimal b-robust estimate trading strategy optimal v-robust unknown multidimensional parameter asset price diffusion type process misspecified volatility mean-variance sense stochastic volatility model small parameter multidimensional continuous semimartingale
