The efficient hedging problem for American options
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Cites work
- scientific article; zbMATH DE number 1971733 (Why is no real title available?)
- scientific article; zbMATH DE number 1548491 (Why is no real title available?)
- scientific article; zbMATH DE number 1795854 (Why is no real title available?)
- A general version of the fundamental theorem of asset pricing
- Binomial approximations of shortfall risk for game options
- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Dynamic L p-Hedging in Discrete Time under Cone Constraints
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
- Efficient hedging with coherent risk measure
- Efficient hedging: cost versus shortfall risk
- Financial Modelling with Jump Processes
- Hedging American contingent claims with constrained portfolios
- Hedging with risk for game options in discrete time
- Local Expected Shortfall-Hedging in Discrete Time *
- Minimization of shortfall risk in a jump-diffusion model
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
- Minimizing shortfall risk and applications to finance and insurance problems
- On dynamic measure of risk
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Optional decomposition and Lagrange multipliers
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Optional decompositions under constraints
- Risk minimization under transaction costs
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Shortfall risk approximations for American options in the multidimensional Black-Scholes model
- Stochastic finance. An introduction in discrete time
Cited in
(24)- Hedging of American options under transaction costs
- On the solution of complementarity problems arising in American options pricing
- Limit theorems for partial hedging under transaction costs
- On shortfall risk minimization for game options
- Binomial approximations of shortfall risk for game options
- Shortfall risk approximations for American options in the multidimensional Black-Scholes model
- Partial hedging of American contingent claims in a finite discrete time model
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Dynkin's games and Israeli options
- Hedging American options in Merton's model: A locally risk minimizing approach
- Hedging with risk for game options in discrete time
- Continuity of utility maximization under weak convergence
- The existence of the risk-efficient options
- ON THE AMERICAN OPTION PROBLEM
- Efficient hedging in general Black-Scholes model
- Extremal measures and hedging in American options
- Convex duality for partial hedging of American options: continuous price processes
- Robust efficient hedging for American options: the existence of worst case probability measures
- 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 American Derivatives and Related Obstacle Problems
- Construction and hedging of optimal payoffs in Lévy models
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
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