Partial hedging of American contingent claims in a finite discrete time model

DOI10.4064/AM2379-11-2018MaRDI QIDQ4614224zbMATH OpenOpenAlexWikidataFDO

Authors Marek Kociński

Publication date 30 January 2019

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am2379-11-2018

zbMATH Keywords

equivalent martingale measuresuperhedgingshortfall riskEuropean contingent claimAmerican contingent claimrandomized stopping time

Mathematics Subject Classification ID

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

Recommendations

• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Optimal partial hedging of an American option: shifting the focus to the expiration date
• Limit theorems for partial hedging under transaction costs
• The martingale method of shortfall risk minimization in a discrete time market
• The efficient hedging problem for American options

Cites work

• scientific article; zbMATH DE number 1971733 (Why is no real title available?)
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Efficient hedging: cost versus shortfall risk
• Explicit solutions for shortfall risk minimization in multinomial models.
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Randomized stopping times and American option pricing with transaction costs
• The martingale method of shortfall risk minimization in a discrete time market

Cited in

(12)

• Limit theorems for partial hedging under transaction costs
• Partial hedging of American claims in a discrete market
• Partial hedging of American options in discrete time and complete markets: convex duality and optimal Markov policies
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Shortfall risk minimization versus symmetric (quadratic) hedging
• scientific article; zbMATH DE number 5002006 (Why is no real title available?)
• Optimal partial hedging of an American option: shifting the focus to the expiration date
• Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
• The martingale method of shortfall risk minimization in a discrete time market
• Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
• How much can investors discount?
• Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market

This page was built for publication: Partial hedging of American contingent claims in a finite discrete time model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4614224)