Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies

DOI10.1007/S40590-015-0070-XzbMath1342.60061OpenAlexW2273604165MaRDI QIDQ265469

Erick Treviño Aguilar

Publication date: 4 April 2016

Published in: Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40590-015-0070-x

zbMATH Keywords

American optionsconvex dualitystopping timescomplete marketsoptimal Markov policiespartial hedging

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Temps d'arret optimal, quasi-temps d'arret et retournement du temps
• Stochastic optimal control. The discrete time case
• Efficient hedging: cost versus shortfall risk
• Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Probability Theory with Applications
• A generalization of a problem of Steinhaus
• Stochastic finance. An introduction in discrete time

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