The efficient hedging problem for American options
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Publication:483722
DOI10.1007/S00780-010-0151-7zbMATH Open1303.91181OpenAlexW2058018105MaRDI QIDQ483722FDOQ483722
Authors: Sabrina Mulinacci 
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0151-7
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Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- Financial Modelling with Jump Processes
- A general version of the fundamental theorem of asset pricing
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- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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- Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
- Minimizing shortfall risk and applications to finance and insurance problems
- Minimization of shortfall risk in a jump-diffusion model
- Shortfall risk approximations for American options in the multidimensional Black-Scholes model
- Hedging with risk for game options in discrete time
- Title not available (Why is that?)
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Title not available (Why is that?)
- Local Expected Shortfall-Hedging in Discrete Time *
- Dynamic L p-Hedging in Discrete Time under Cone Constraints
- Binomial approximations of shortfall risk for game options
Cited In (24)
- 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
- Construction and hedging of optimal payoffs in Lévy models
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- The existence of the risk-efficient options
- Convex duality for partial hedging of American options: continuous price processes
- On shortfall risk minimization for game options
- Hedging with risk for game options in discrete time
- On the solution of complementarity problems arising in American options pricing
- Continuity of utility maximization under weak convergence
- ON THE AMERICAN OPTION PROBLEM
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- Extremal measures and hedging in American options
- Dynkin's games and Israeli options
- Hedging of American options under transaction costs
- Efficient hedging in general Black-Scholes model
- Binomial approximations of shortfall risk for game options
- Hedging American options in Merton's model: A locally risk minimizing approach
- On American Derivatives and Related Obstacle Problems
- Robust efficient hedging for American options: the existence of worst case probability measures
- American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
- Shortfall risk approximations for American options in the multidimensional Black-Scholes model
- Partial hedging of American contingent claims in a finite discrete time model
- Limit theorems for partial hedging under transaction costs
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