On the existence of an efficient hedge for an American contingent claim within a discrete time market
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Publication:5433100
DOI10.1080/14697680601158700zbMath1151.91532OpenAlexW2004065330MaRDI QIDQ5433100
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
expected lossincomplete marketsAmerican claimsefficient hedgingpartial hedgingynamic measures of risk
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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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