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dc.contributor.authorPinar, M.Ç.en_US
dc.date.accessioned2016-02-08T09:38:55Z
dc.date.available2016-02-08T09:38:55Z
dc.date.issued2013en_US
dc.identifier.issn14697688
dc.identifier.urihttp://hdl.handle.net/11693/20976
dc.description.abstractThe problem of quantile hedging for American claims is studied from the perspective of the buyer of a contingent claim by minimizing the 'expected failure ratio'. After a general study of the problem in infinite-state spaces, we pass to finite dimensions and examine the properties of the resulting finite-dimensional optimization problems. In finite-state probability spaces we obtain a bilinear programming formulation that admits an exact linearization using binary exercise variables. Numerical results with S&P 500 index options demonstrate the computational viability of the formulations. © 2013 Copyright Taylor and Francis Group, LLC.en_US
dc.language.isoEnglishen_US
dc.source.titleQuantitative Financeen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/14697688.2010.538075en_US
dc.subjectAmerican style derivative securitiesen_US
dc.subjectAsset pricingen_US
dc.subjectOptimizationen_US
dc.subjectRisk managementen_US
dc.titleBuyer's quantile hedge portfolios in discrete-time tradingen_US
dc.typeArticleen_US
dc.departmentDepartment of Industrial Engineering
dc.citation.spage729en_US
dc.citation.epage738en_US
dc.citation.volumeNumber13en_US
dc.citation.issueNumber5en_US
dc.identifier.doi10.1080/14697688.2010.538075en_US


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