Buyer's quantile hedge portfolios in discrete-time trading

DOI10.1080/14697688.2010.538075zbMath1281.91144OpenAlexW2084943447MaRDI QIDQ5397414

Mustafa Çelebi Pinar

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.538075

zbMATH Keywords

optimizationasset pricingrisk managementAmerican-style derivative securities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (1)

Partial hedging and cash requirements in discrete time

Uses Software

• CONOPT
• GAMS

Cites Work

• Maximizing the probability of a perfect hedge
• Efficient hedging with coherent risk measure
• Duality and martingales: a stochastic programming perspective on contingent claims
• Quantile hedging
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• Lectures on Modern Convex Optimization
• Pricing American contingent claims by stochastic linear programming
• Coherent hedging in incomplete markets
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• CALIBRATED OPTION BOUNDS
• On the existence of an efficient hedge for an American contingent claim within a discrete time market
• Convex Hedging in Incomplete Markets

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