Robust Exponential Hedging in a Brownian Setting

Keita Owari

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution. Then an optimal strategy will be expressed in terms of the solution to the HJB equation.

Keywords: Robust Utility Maximization; Stochastic Control; Duality (search for similar items in EconPapers)
Date: 2009-09
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Citations: View citations in EconPapers (4)

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