Efficient hedging under ambiguity in continuous time  

作　　者：Ludovic Tangpi 

机构地区：[1]Princeton University,Department of Operations Research and Financial Engineering,Princeton 08540,NJ,USA

出　　处：《Probability, Uncertainty and Quantitative Risk》2020年第1期135-153,共19页概率、不确定性与定量风险（英文）

摘　　要：It is well known that the minimal superhedging price of a contingent claim is too high for practical use.In a continuous-time model uncertainty framework,we consider a relaxed hedging criterion based on acceptable shortfall risks.Combining existing aggregation and convex dual representation theorems,we derive duality results for the minimal price on the set of upper semicontinuous discounted claims.

关 键 词：Superhedging model ambiguity Acceptance set Risk measure Optimized certainty equivalent Volatility uncertainty 

分 类 号：O17[理学—数学]