Robust Mean-Variance Hedging via G-Expectation

Francesca Biagini, Jacopo Mancin and Thilo Meyer Brandis

Papers from arXiv.org

Abstract: In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with two assets, where the discounted risky one is modeled as a symmetric G-martingale. By tackling progressively larger classes of contingent claims, we are able to explicitly compute the optimal strategy under general assumptions on the form of the contingent claim.

Date: 2016-02, Revised 2016-08
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