Partial hedging of American claims in a discrete market

DOI10.1007/S10598-014-9252-ZzbMATH Open1335.91088OpenAlexW2027644726MaRDI QIDQ260331FDOQ260331

Authors: Alexey Soloviev 

Publication date: 21 March 2016

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-014-9252-z

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zbMATH Keywords

stopping timeAmerican claimsarbitrage-free marketsefficient hedgingfixed-probability hedgingincomplete markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• Quantile hedging
• Stochastic finance. An introduction in discrete time
• Optimal partial hedging of an American option: shifting the focus to the expiration date
• Hedging of Options with a Given Probability
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• On optimal partial hedging in discrete markets

Cited In (5)

• Partial hedging for defaultable claims
• On optimal partial hedging in discrete markets
• Title not available (Why is that?)
• Optimal partial hedging of an American option: shifting the focus to the expiration date
• Claim hedging in an incomplete market

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