Solving the problem of partial hedging through a dual problem
From MaRDI portal
Recommendations
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
- Convex duality for partial hedging of American options: continuous price processes
- Partial Hedging under Transaction Costs
- Characterization of the value process in robust efficient hedging
Cites work
- A characterization of maximin tests for two composite hypotheses
- Coherent hedging in incomplete markets
- Convex Hedging in Incomplete Markets
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Efficient hedging of European options with robust convex loss functionals: a dual-representation formula
- Efficient hedging with coherent risk measure
- Efficient hedging: cost versus shortfall risk
- scientific article; zbMATH DE number 4046373 (Why is no real title available?)
- scientific article; zbMATH DE number 3725069 (Why is no real title available?)
- scientific article; zbMATH DE number 3582778 (Why is no real title available?)
- scientific article; zbMATH DE number 1948538 (Why is no real title available?)
- scientific article; zbMATH DE number 1897410 (Why is no real title available?)
- scientific article; zbMATH DE number 1405955 (Why is no real title available?)
- Integrals which are convex functionals. II
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Partial hedging for defaultable claims
- Risk measure pricing and hedging in incomplete markets
- RISK MEASURES ON ORLICZ HEARTS
- Testing hypotheses for measures with different masses: Four optimization problems
- The mathematics of arbitrage
- Variational Analysis
This page was built for publication: Solving the problem of partial hedging through a dual problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6192862)
