Hedging of Options with a Given Probability

DOI10.1137/S0040585X97976738MaRDI QIDQ4252982zbMATH OpenFDO

Authors A. Novikov

Publication date 23 June 1999

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97976738

zbMATH Keywords

American optionscontingent claimsfinancial mathematicslikelihood ratiomartingalesquantile hedging

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(12)

• Option hedging for semimartingales
• Optimal partial hedging of an American option: shifting the focus to the expiration date
• Partial hedging of American claims in a discrete market
• A general framework for hedging and speculating with options
• Option valuation and hedging with basis risk
• scientific article; zbMATH DE number 6533160 (Why is no real title available?)
• Can expected shortfall and Value-at-Risk be used to statically hedge options?
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• A variation of the Azéma martingale and drawdown options
• Approximate hedging problem with transaction costs in stochastic volatility markets
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Partial hedging of spread options with a given probability

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