The efficient hedging problem for American options
S Mulinacci - Finance and Stochastics, 2011 - Springer
Finance and Stochastics, 2011•Springer
In this paper, we prove the existence of efficient partial hedging strategies for a trader unable
to commit the initial minimal amount of money needed to implement a hedging strategy for
an American option. The attitude towards the shortfall is modeled in terms of a decreasing
and convex risk functional satisfying a lower semicontinuity property with respect to the
Fatou convergence of stochastic processes. Some relevant examples of risk functionals are
analyzed. Numerical computations in a discrete-time market model are provided. In a Lévy …
to commit the initial minimal amount of money needed to implement a hedging strategy for
an American option. The attitude towards the shortfall is modeled in terms of a decreasing
and convex risk functional satisfying a lower semicontinuity property with respect to the
Fatou convergence of stochastic processes. Some relevant examples of risk functionals are
analyzed. Numerical computations in a discrete-time market model are provided. In a Lévy …
Abstract
In this paper, we prove the existence of efficient partial hedging strategies for a trader unable to commit the initial minimal amount of money needed to implement a hedging strategy for an American option. The attitude towards the shortfall is modeled in terms of a decreasing and convex risk functional satisfying a lower semicontinuity property with respect to the Fatou convergence of stochastic processes. Some relevant examples of risk functionals are analyzed. Numerical computations in a discrete-time market model are provided. In a Lévy market, an approximating solution is given assuming discrete-time trading.
Springer
以上显示的是最相近的搜索结果。 查看全部搜索结果