JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
Articles
Robust exponential hedging in a Brownian setting
Keita Owari
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2009 年 1 巻 p. 64-67

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抄録
This paper studies the robust exponential hedging in a Brownian factor model, giving a solvable example using a PDE argument. The dual problem is reduced to a standard stochastic control problem, of which the HJB equation admits a classical solution. The optimal strategy will be expressed in terms of the solution to the HJB equation.
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© 2009 The Japan Society for Industrial and Applied Mathematics
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