Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies (Q265469)
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scientific article; zbMATH DE number 6562400
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| English | Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies |
scientific article; zbMATH DE number 6562400 |
Statements
Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies (English)
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4 April 2016
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partial hedging
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American options
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stopping times
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complete markets
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convex duality
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optimal Markov policies
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0.9285529
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0.92070377
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0.91162944
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0.9115633
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0.9057684
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0.89591867
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0.8942921
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0.8872962
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0.8833957
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