Robust mean-variance hedging in the single period model

TL;DR

This paper provides an explicit solution for robust mean-variance hedging in a single period model, addressing the challenge of hedging contingent claims under model uncertainty.

Contribution

It introduces a novel explicit solution method for robust mean-variance hedging in the single period setting, including an alternative approach.

Findings

Explicit solution for robust mean-variance hedging

Addresses model uncertainty in hedging strategies

Includes an alternative solution approach

Abstract

We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.