An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market

DOI10.1515/dma.2007.016zbMath1282.91111arXivmath/0606471OpenAlexW3124906853MaRDI QIDQ5439044

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Publication date: 8 February 2008

Published in: Discrete Mathematics and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0606471

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (4)

ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS ⋮ A time-series approach to non-self-financing hedging in a discrete-time incomplete market ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ Optimal hedging in an extended binomial market under transaction costs

Cites Work

• On Minimizing Risk in Incomplete Markets Option Pricing Models
• An Explicit Formula for Option Pricing in Discrete Incomplete Markets

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