On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market
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References listed on IDEAS
- Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
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More about this item
KeywordsPartial Hedging; Efficient Hedging; Expected Loss; American Claims; Incomplete Markets; Dynamic Measures of Risk.;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-10-29 (All new papers)
- NEP-FIN-2005-10-29 (Finance)
- NEP-RMG-2005-10-29 (Risk Management)
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