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

dc.citation.epage372en_US
dc.citation.issueNumber4en_US
dc.citation.spage361en_US
dc.citation.volumeNumber61en_US
dc.contributor.authorPinar, M.C.en_US
dc.date.accessioned2016-02-08T09:47:43Z
dc.date.available2016-02-08T09:47:43Z
dc.date.issued2012en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractSuperhedging 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.en_US
dc.identifier.doi10.1080/02331934.2012.665053en_US
dc.identifier.issn2331934
dc.identifier.urihttp://hdl.handle.net/11693/21534
dc.language.isoEnglishen_US
dc.relation.isversionofhttp://dx.doi.org/10.1080/02331934.2012.665053en_US
dc.source.titleOptimizationen_US
dc.subjectEuropean claimsen_US
dc.subjectgain-loss hedgingen_US
dc.subjectmartingalesen_US
dc.subjectpricingen_US
dc.subjectsuperhedgingen_US
dc.titleA dual representation of gain-loss hedging for European claims in discrete timeen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
A dual representation of gain-loss hedging for European claims in discrete time.pdf
Size:
329.48 KB
Format:
Adobe Portable Document Format
Description:
Full printable version