トップページ > Research Results - Discussion Papers > No.82
Robust Exponential Hedging in a Brownian Setting
Abstract
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. Then an optimal strategy will be expressed in terms of the solution to the HJB equation.
