Pricing and hedging in incomplete markets with model uncertainty

Anne G. Balter*, Antoon Pelsser

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)911-925
Number of pages15
JournalEuropean Journal of Operational Research
Volume282
Issue number3
DOIs
Publication statusPublished - 1 May 2020

Keywords

  • Finance
  • Indifference pricing
  • Hedging
  • Incomplete markets
  • Robustness
  • STOCHASTIC DIFFERENTIAL-EQUATIONS
  • ROBUST UTILITY MAXIMIZATION
  • PORTFOLIO SELECTION
  • TIME-CONSISTENT
  • INVESTMENT
  • RISK
  • CONSUMPTION
  • OPERATIONS
  • AMBIGUITY
  • CHOICE

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