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

DOI10.1007/S00186-014-0461-1MaRDI QIDQ2454079zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz J. Tkalinski

Publication date 12 June 2014

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 193011 (Why is no real title available?)
• scientific article; zbMATH DE number 1897412 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Characterizing attainable claims: a new proof
• Coherent hedging in incomplete markets
• Convex Hedging in Incomplete Markets
• Efficient hedging with coherent risk measure
• Efficient hedging: cost versus shortfall risk
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• On convex risk measures on \(L^{p}\)-spaces
• Option pricing in discrete-time incomplete market models
• Optional decomposition and Lagrange multipliers
• Quantile hedging
• The mathematics of arbitrage

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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