Hedging of Options with a Given Probability

DOI10.1137/S0040585X97976738zbMath0977.91020MaRDI QIDQ4252982

Alexander Novikov

Publication date: 23 June 1999

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

martingaleslikelihood ratioAmerican optionscontingent claimsfinancial mathematicsquantile hedging

Mathematics Subject Classification ID

Related Items (5)

APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS ⋮ Optimal partial hedging of an American option: shifting the focus to the expiration date ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ Partial hedging of American claims in a discrete market

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