Characterization of the Value Process in Robust Efficient Hedging

Daniel Hernández-Hernández () and Erick Treviño-Aguilar ()
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Daniel Hernández-Hernández: CIMAT
Erick Treviño-Aguilar: University of Guanajuato

Journal of Optimization Theory and Applications, 2014, vol. 161, issue 1, No 3, 56-75

Abstract: Abstract This paper examines the value function of a partial hedging problem under model ambiguity. The study is based on a dual representation of the value function obtained by the authors. We formulate a family of control problems, whose value processes are characterized as solutions of a backward stochastic differential equation and give a sufficient condition to identify optimal controls.

Keywords: BSDE’s; Partial hedging; Model ambiguity (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10957-012-0168-5

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