Maximizing the probability of a perfect hedge
Duality approach is used to solve the problem of maximizing the probability of a perfect hedge on a complete market when starting with a given initial capital. The applied method allows to modify and extend the result, e.g. to a market model with a partial information and to the wealth process with a concave drift, which covers then interesting cases of a large investor or of different interest rates for borrowing and lending.
scientific article; zbMATH DE number 1500263