The efficient hedging problem for American options
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Publication:483722
DOI10.1007/s00780-010-0151-7zbMath1303.91181OpenAlexW2058018105MaRDI QIDQ483722
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0151-7
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (9)
Optimal partial hedging of an American option: shifting the focus to the expiration date ⋮ Convex duality for partial hedging of American options: continuous price processes ⋮ Dynkin's games and Israeli options ⋮ On shortfall risk minimization for game options ⋮ Binomial approximations of shortfall risk for game options ⋮ Continuity of utility maximization under weak convergence ⋮ Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model ⋮ Hedging with risk for game options in discrete time ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS
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