Hedging American options in Merton's model: A locally risk minimizing approach

被引：0
作者：
Becchere G. [1 ]
Mulinacci S. [2 ]
机构：
[1] Dipartimento di Matematica, Università di Pisa, 56127 Pisa
[2] Istituto di Econometria e Matematica per le Decisioni Economiche, Università Cattolica del Sacro Cuore, 20131 Milano
来源：
Asia-Pacific Financial Markets | 1999年 / 6卷 / 2期
关键词：
American options; Incomplete markets; Minimal martingale measure; Risk menemolity;
D O I：
10.1023/A:1010036828397
中图分类号：
学科分类号：
摘要：
An interesting problem, related to American options in incomplete markets, is the possibility to select a preferable equivalent martingale measure in order to compute the prices. With this in mind, we consider a particular option that may be viewed as a finite collection of suitable European options and for which the minimal martingale measure permits the minimization of the local risk. Since this option is an approximation of the American put, the stability result presented, concerning the portfolio decomposition, also suggests an argument in favor of the minimal martingale measure in the American case. © 1999 Kluwer Academic Publishers.
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页码：153 / 170
页数：17
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