27 citations · 61 across the 5 of their papers we have counts for
3 papers · 1 filter
Strict Local Martingales and Optimal Investment in a Black-Scholes Model with a Bubble
Martin Herdegen, Sebastian Herrmann
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen-Ledoit-Sornette (JLS) financial bubble model.…
Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
Sebastian Herrmann, Johannes Muhle-Karbe
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option…
Hedging with Small Uncertainty Aversion
Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equ…