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- W54622148 abstract "We study a notion of good-deal hedging, that corresponds to good-deal valuation and is defined by a uniform supermartingale property for the tracking errors of hedging strategies. For generalized good-deal constraints, defined in terms of correspondences for the Girsanov kernels of pricing measures, constructive results on good-deal hedges and valuations are derived from backward stochastic differential equations, including new examples with explicit formulas. Under model uncertainty about the market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative component in good-deal hedging, which is shown to be equivalent to a global risk-minimization in the sense of Follmer and Sondermann (1986) if uncertainty is sufficiently large." @default.
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- W54622148 date "2015-01-01" @default.
- W54622148 modified "2023-09-27" @default.
- W54622148 title "Hedging Under Generalized Good-Deal Bounds and Model Uncertainty" @default.
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- W54622148 doi "https://doi.org/10.2139/ssrn.2546262" @default.
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