Optimal partial hedging of an American option: shifting the focus to the expiration date
DOI10.1007/S00186-012-0382-9zbMATH Open1267.91075OpenAlexW2009306143MaRDI QIDQ1935932FDOQ1935932
Authors: Peter Lindberg 
Publication date: 20 February 2013
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-012-0382-9
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Derivative securities (option pricing, hedging, etc.) (91G20) Linear programming (90C05) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Quantile hedging
- Title not available (Why is that?)
- Stochastic finance. An introduction in discrete time
- Hedging of Options with a Given Probability
- The efficient hedging problem for American options
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Title not available (Why is that?)
- On dynamic measure of risk
- Maximizing the probability of a perfect hedge
- Hedging with risk for game options in discrete time
- Robust efficient hedging for American options: the existence of worst case probability measures
- Optimal partial hedging in a discrete-time market as a Knapsack problem
Cited In (8)
- Partial hedging of American claims in a discrete market
- Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies
- VaR-based optimal partial hedging
- Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
- Optimal partial hedging in a discrete-time market as a Knapsack problem
- Robust efficient hedging for American options: the existence of worst case probability measures
- American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
- Partial hedging of American contingent claims in a finite discrete time model
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