Corpus ID: 204800938

Robustness of Delta hedging in a jump-diffusion model

@article{Bosserhoff2019RobustnessOD,
  title={Robustness of Delta hedging in a jump-diffusion model},
  author={Frank Bosserhoff and M. Stadje},
  journal={arXiv: Mathematical Finance},
  year={2019}
}
Suppose an investor aims at Delta hedging a European contingent claim $h(S(T))$ in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivity, so that any hedging strategy is calculated under a misspecified model. When does the erroneously computed strategy super-replicate the true claim in an appropriate sense? If the misspecified volatility and jump sensitivity dominate the true ones, we show that following the misspecified Delta strategy does super… Expand

References

SHOWING 1-10 OF 61 REFERENCES
Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
  • 19
  • PDF
Volatility misspecification, option pricing and superreplication via coupling
  • 121
Robustness of the Black and Scholes Formula
  • 377
  • Highly Influential
  • PDF
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
  • 138
  • PDF
Robust Portfolio Choice and Indifference Valuation
  • 62
  • PDF
Martingale optimal transport and robust hedging in continuous time
  • 168
  • PDF
Robust replication in H-self-similar Gaussian market models under uncertainty
  • 4
  • PDF
Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
  • 514
  • PDF
Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
  • 309
  • Highly Influential
  • PDF
...
1
2
3
4
5
...