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• W1560581036 abstract "In an incomplete market driven by time-changed Levy noises we consider the problem of hedging a financial position coupled with the underlying risk of model uncertainty. Then we study hedging under worst-case-scenario. The proposed strategies are not necessarily self-financing and include the interplay of a cost process to achieve the perfect hedge at the end of the time horizon. The hedging problem is tackled in the framework of stochastic differential games and it is treated via backward stochastic differential equations. Two different information flows are considered and the solutions compared." @default.
• W1560581036 created "2016-06-24" @default.
• W1560581036 creator A5075520308 @default.
• W1560581036 creator A5083806039 @default.
• W1560581036 date "2015-12-27" @default.
• W1560581036 modified "2023-09-27" @default.
• W1560581036 title "Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises" @default.
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• W1560581036 doi "https://doi.org/10.1007/978-3-319-25826-3_22" @default.
• W1560581036 hasPublicationYear "2015" @default.
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