Robust mean-variance hedging in the single period model

R. Tevzadze and T. Uzunashvili

Papers from arXiv.org

Abstract: We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.

Date: 2009-08
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/0908.0840 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0908.0840

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().