A dual representation of gain-loss hedging for European claims in discrete time
| dc.citation.epage | 372 | en_US |
| dc.citation.issueNumber | 4 | en_US |
| dc.citation.spage | 361 | en_US |
| dc.citation.volumeNumber | 61 | en_US |
| dc.contributor.author | Pinar, M.C. | en_US |
| dc.date.accessioned | 2016-02-08T09:47:43Z | |
| dc.date.available | 2016-02-08T09:47:43Z | |
| dc.date.issued | 2012 | en_US |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description.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. | en_US |
| dc.identifier.doi | 10.1080/02331934.2012.665053 | en_US |
| dc.identifier.issn | 2331934 | |
| dc.identifier.uri | http://hdl.handle.net/11693/21534 | |
| dc.language.iso | English | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1080/02331934.2012.665053 | en_US |
| dc.source.title | Optimization | en_US |
| dc.subject | European claims | en_US |
| dc.subject | gain-loss hedging | en_US |
| dc.subject | martingales | en_US |
| dc.subject | pricing | en_US |
| dc.subject | superhedging | en_US |
| dc.title | A dual representation of gain-loss hedging for European claims in discrete time | en_US |
| dc.type | Article | en_US |
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