The efficient hedging problem for American options
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References listed on IDEAS
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- Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(3), pages 221-243, June.
- repec:spr:compst:v:75:y:2012:i:3:p:221-243 is not listed on IDEAS
- Roxana Dumitrescu & Romuald Elie & Wissal Sabbagh & Chao Zhou, 2017. "BSDEs with weak reflections and partial hedging of American options," Papers 1708.05957, arXiv.org.
More about this item
KeywordsAmerican options; Convex risk functionals; Fatou convergence; Worst stopping; Expected shortfall; 91B28; 90C39; 60H05; G13; G11;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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