Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market

MaRDI QIDQ4559953zbMATH OpenFDO

Authors Alexey Soloviev

Publication date 4 December 2018

zbMATH Keywords

stopping timevalue-at-riskhedgingscenario treedecision making under uncertainty

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) 2-person games (91A05) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

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Cited in

(2)

• scientific article; zbMATH DE number 5811750 (Why is no real title available?)
• Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

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