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

DOI10.1007/s00186-012-0382-9zbMath1267.91075OpenAlexW2009306143MaRDI 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 algorithmAmerican optionsknapsack problemquantile hedgingbinomial model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Linear programming (90C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Partial hedging of American claims in a discrete market

Cites Work

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• Optimal partial hedging in a discrete-time market as a Knapsack problem
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• Hedging with risk for game options in discrete time
• Robust efficient hedging for American options: The existence of worst case probability measures
• Hedging of Options with a Given Probability
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Stochastic finance. An introduction in discrete time

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