Convex hedging of non-superreplicable claims in discrete-time market models

DOI10.1007/S00186-014-0461-1zbMATH Open1408.91225OpenAlexW1987455234WikidataQ59397960 ScholiaQ59397960MaRDI QIDQ2454079FDOQ2454079

Authors: Tomasz J. Tkalinski 

Publication date: 12 June 2014

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-014-0461-1

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zbMATH Keywords

incomplete marketefficient hedginghedgingcontingent claimconvex measure of riskdiscrete-time market model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Optimality conditions for minimax problems (49K35) Stochastic models in economics (91B70)

Cites Work

• A general version of the fundamental theorem of asset pricing
• Quantile hedging
• Efficient hedging: cost versus shortfall risk
• The mathematics of arbitrage
• Title not available (Why is that?)
• On convex risk measures on \(L^{p}\)-spaces
• Efficient hedging with coherent risk measure
• Coherent hedging in incomplete markets
• Optional decomposition and Lagrange multipliers
• Convex Hedging in Incomplete Markets
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Option pricing in discrete-time incomplete market models
• Title not available (Why is that?)
• Characterizing attainable claims: a new proof

Cited In (2)

• Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
• Hedging of contingent claims written on non traded assets under Markov-modulated models

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