Maximizing the probability of a perfect hedge (Q1578595)
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scientific article; zbMATH DE number 1500263
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Maximizing the probability of a perfect hedge |
scientific article; zbMATH DE number 1500263 |
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Maximizing the probability of a perfect hedge (English)
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4 September 2000
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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.
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hedging
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large investors
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margin reqirements
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duality
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market model
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partial information
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0.8184913992881775
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0.802526593208313
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0.7783336043357849
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0.7755794525146484
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