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      A dual representation of gain-loss hedging for European claims in discrete time

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      Author
      Pinar, M.C.
      Date
      2012
      Source Title
      Optimization
      Print ISSN
      2331934
      Volume
      61
      Issue
      4
      Pages
      361 - 372
      Language
      English
      Type
      Article
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      Abstract
      Superhedging of European claims in incomplete markets is a well-studied problem. The superhedging value of a European claim is known to yield a price too large to be interesting in some cases. In this note, an alternative hedging strategy based on an expected gain-loss criterion is studied for European claims in infinite state space, discrete time financial markets. A dual representation for the gain-loss hedging value is obtained. © 2012 Copyright Taylor and Francis Group, LLC.
      Keywords
      European claims
      gain-loss hedging
      martingales
      pricing
      superhedging
      Permalink
      http://hdl.handle.net/11693/21534
      Published Version (Please cite this version)
      http://dx.doi.org/10.1080/02331934.2012.665053
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      • Department of Industrial Engineering 694
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