Maximizing the probability of a perfect hedge
type: Item
instance of: scholarly article
title: Maximizing the probability of a perfect hedge
zbMATH Open document ID: 0966.91042
author: Gennady Spivak
author: Jakša Cvitanić
published in: The Annals of Applied Probability
publication date: 2000-09-04T00:00:00Z
review text: 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.
reviewed by: Jitka Dupačová
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 1500263
zbMATH Keywords: hedging
zbMATH Keywords: large investors
zbMATH Keywords: margin reqirements
zbMATH Keywords: duality
zbMATH Keywords: market model
zbMATH Keywords: partial information
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1029962873
OpenAlex ID: W2060622579
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DOI: 10.1214/AOAP/1029962873
description: scientific article; zbMATH DE number 1500263