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The efficient hedging problem for American options

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  • Sabrina Mulinacci

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    File URL: http://hdl.handle.net/10.1007/s00780-010-0151-7
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 2 (June)
    Pages: 365-397

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:2:p:365-397

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: American options; Convex risk functionals; Fatou convergence; Worst stopping; Expected shortfall; 91B28; 90C39; 60H05; G13; G11;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Yan Dolinsky & Yuri Kifer, 2008. "Binomial approximations of shortfall risk for game options," Papers 0811.1896, arXiv.org.
    2. Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, Springer, vol. 4(2), pages 117-146.
    3. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, Springer, vol. 3(4), pages 451-482.
    4. Föllmer, Hans & Kabanov, Jurij M., 1997. "Optional decomposition and lagrange multipliers," SFB 373 Discussion Papers 1997,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Nakano, Yumiharu, 2004. "Minimization of shortfall risk in a jump-diffusion model," Statistics & Probability Letters, Elsevier, Elsevier, vol. 67(1), pages 87-95, March.
    6. Leonel Perez-hernandez, 2007. "On the existence of an efficient hedge for an American contingent claim within a discrete time market," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(5), pages 547-551.
    7. Kramkov, D.O., 1994. "Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets," Discussion Paper Serie B 294, University of Bonn, Germany.
    8. Paolo Guasoni, 2002. "Risk minimization under transaction costs," Finance and Stochastics, Springer, Springer, vol. 6(1), pages 91-113.
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    Cited by:
    1. Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Computational Statistics, Springer, Springer, vol. 75(3), pages 221-243, June.

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