Robust mean-variance hedging in the single period model
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
q-fin.PR↗
arXiv subjects
Publications and source records attributed to T. Uzunashvili.
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.