Optimal partial hedging of an American option: shifting the focus to the expiration date

DOI10.1007/s00186-012-0382-9zbMath1267.91075MaRDI QIDQ1935932

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

zbMATH Keywords

greedy algorithm; American options; knapsack problem; quantile hedging; binomial model

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

90C05: Linear programming

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

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Partial hedging of American claims in a discrete market

Cites Work

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