On the existence of an efficient hedge for an American contingent claim within a discrete time market

DOI10.1080/14697680601158700zbMath1151.91532OpenAlexW2004065330MaRDI QIDQ5433100

Leonel Pérez Hernández

Publication date: 19 December 2007

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

Full work available at URL: https://doi.org/10.1080/14697680601158700

zbMATH Keywords

expected lossincomplete marketsAmerican claimsefficient hedgingpartial hedgingynamic measures of risk

Mathematics Subject Classification ID

Related Items (10)

Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies ⋮ Optimal partial hedging of an American option: shifting the focus to the expiration date ⋮ Partial hedging of American contingent claims in a finite discrete time model ⋮ The efficient hedging problem for American options ⋮ Buyer's quantile hedge portfolios in discrete-time trading ⋮ Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming ⋮ On shortfall risk minimization for game options ⋮ Partial hedging and cash requirements in discrete time ⋮ Hedging with risk for game options in discrete time ⋮ Partial hedging of American claims in a discrete market

Cites Work

• Methods of partial hedging
• A general version of the fundamental theorem of asset pricing
• On the range of options prices
• Maximizing the probability of a perfect hedge
• Efficient hedging: cost versus shortfall risk
• Incompleteness of markets driven by a mixed diffusion
• Efficient hedging with coherent risk measure
• Risk minimization under transaction costs
• Minimizing shortfall risk and applications to finance and insurance problems
• Stochastic optimization under constraints.
• Quantile hedging
• On dynamic measure of risk
• Minimization of shortfall risk in a jump-diffusion model
• Hedging of Options with a Given Probability
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Local Expected Shortfall-Hedging in Discrete Time *
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Option pricing: A simplified approach
• Minimax Theorems

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