4 papers
Nash equilibria for game contingent claims with utility-based hedging
Klebert Kentia, Christoph Kühn
Game contingent claims (GCCs) generalize American contingent claims by allowing the writer to recall the option as long as it is not exercised, at the price of paying some penalty.…
Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility
Dirk Becherer, Klebert Kentia
We study robust notions of good-deal hedging and valuation under combined uncertainty about the drifts and volatilities of asset prices. Good-deal bounds are determined by a subset…
On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
Dirk Becherer, Martin Büttner, Klebert Kentia
We show a concise extension of the monotone stability approach to backward stochastic differential equations (BSDEs) that are jointly driven by a Brownian motion and a random measu…
Hedging under generalized good-deal bounds and model uncertainty
Dirk Becherer, Klebert Kentia
We study a notion of good-deal hedging, that corresponds to good-deal valuation for generalized good-deal constraints. Under model uncertainty about the market prices of risk of he…