Browsing by Subject "European claims"

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    A dual representation of gain-loss hedging for European claims in discrete time
    (2012) Pinar, M.C.
    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.