Partial hedging and cash requirements in discrete time

DOI10.1080/14697688.2015.1095347zbMath1468.91159OpenAlexW2290361699MaRDI QIDQ5001180

Erdnç Akyildirim, Albert Altarovici

Publication date: 16 July 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1095347

zbMATH Keywords

dynamic programmingstochastic optimal controlexpected shortfallquantile hedgingutility indifference pricing

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Buyer's quantile hedge portfolios in discrete-time trading
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