Optimal hedging and parameter uncertainty

We explore the impact of drift parameter uncertainty in a basis risk model, an incomplete market in which a claim on a non-traded asset is optimally hedged using a correlated traded stock. Using analytic expansions for indifference prices and hedging strategies, we develop an efficient procedure to...

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Váldodahkki: Monoyios, M
Materiálatiipa: Journal article
Almmustuhtton: 2007
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Optimal hedging and parameter uncertainty Dahkki Monoyios, M

Almmustuhtton 2007
Journal article