Cooperative Hedging in Incomplete Markets

DOI10.1081/SAP-200056649zbMath1113.91029MaRDI QIDQ5316799

Jian-ming Xia

Publication date: 15 September 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

corepartial hedgingsuperhedging

Mathematics Subject Classification ID

Cooperative games (91A12) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ Cooperative hedging with a higher interest rate for borrowing

Cites Work

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• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
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• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Generalized Neyman-Pearson lemma via convex duality.

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