The efficient hedging problem for American options

被引：0
作者：
Sabrina Mulinacci
机构：
[1] University of Bologna,Dipartimento di Matematica per le Scienze Economiche e Sociali
来源：
Finance and Stochastics | 2011年 / 15卷
关键词：
American options; Convex risk functionals; Fatou convergence; Worst stopping; Expected shortfall; 91B28; 90C39; 60H05; G13; G11;
D O I：
暂无
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学科分类号：
摘要：
In this paper, we prove the existence of efficient partial hedging strategies for a trader unable to commit the initial minimal amount of money needed to implement a hedging strategy for an American option. The attitude towards the shortfall is modeled in terms of a decreasing and convex risk functional satisfying a lower semicontinuity property with respect to the Fatou convergence of stochastic processes. Some relevant examples of risk functionals are analyzed. Numerical computations in a discrete-time market model are provided. In a Lévy market, an approximating solution is given assuming discrete-time trading.
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页码：365 / 397
页数：32
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