Pricing and hedging in incomplete markets with model uncertainty


We search for a trading strategy and the associated robust price of unhedgeable assets in incomplete markets under the acknowledgement of model uncertainty. This robust optimal control problem under model uncertainty leads to... [ view full abstract ]


  1. Anne Balter (Tilburg University)
  2. Antoon Pelsser (Maastricht University)

Topic Areas

Hedging , Incompleteness , Robustness


MO-P-EM » Robust Finance (14:30 - Monday, 16th July, Emmet)

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