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

DOI10.1007/S00186-012-0382-9MaRDI QIDQ1935932zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

greedy algorithmknapsack problemquantile hedgingAmerican optionsbinomial model

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 44282 (Why is no real title available?)
• scientific article; zbMATH DE number 5181830 (Why is no real title available?)
• Hedging of Options with a Given Probability
• Hedging with risk for game options in discrete time
• Maximizing the probability of a perfect hedge
• On dynamic measure of risk
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Optimal partial hedging in a discrete-time market as a Knapsack problem
• Quantile hedging
• Robust efficient hedging for American options: the existence of worst case probability measures
• Stochastic finance. An introduction in discrete time
• The efficient hedging problem for American options

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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