A dual representation of gain-loss hedging for European claims in discrete time
Date
2012
Authors
Pinar, M.C.
Advisor
Instructor
Source Title
Optimization
Print ISSN
2331934
Electronic ISSN
Publisher
Volume
61
Issue
4
Pages
361 - 372
Language
English
Type
Article
Journal Title
Journal ISSN
Volume Title
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.
Course
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Book Title
Keywords
European claims, gain-loss hedging, martingales, pricing, superhedging