Partial hedging of American contingent claims in a finite discrete time model
DOI10.4064/AM2379-11-2018zbMATH Open1419.91621OpenAlexW2902959549WikidataQ128874105 ScholiaQ128874105MaRDI QIDQ4614224FDOQ4614224
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
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equivalent martingale measuresuperhedgingshortfall riskEuropean contingent claimAmerican contingent claimrandomized stopping time
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Efficient hedging: cost versus shortfall risk
- 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
- Title not available (Why is that?)
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Dynamic L p-Hedging in Discrete Time under Cone Constraints
- Explicit solutions for shortfall risk minimization in multinomial models.
- The martingale method of shortfall risk minimization in a discrete time market
Cited In (12)
- 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
- Title not available (Why is that?)
- 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
- How much can investors discount?
- Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming
- Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market
- Limit theorems for partial hedging under transaction costs
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