Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Partial hedging and cash requirements in discrete time |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Quantitative Finance |
| Publisher | Taylor & Francis |
| Geographical Reach | international |
| ISSN | 1469-7688 |
| Volume | 16 |
| Number | 6 |
| Page Range | 929 - 945 |
| Date | 2016 |
| Abstract Text | This paper develops a discrete time version of the continuous time model of Bouchard et al. [J. Control Optim., 2009, 48, 3123–3150], for the problem of finding the minimal initial data for a controlled process to guarantee reaching a controlled target with probability one. An efficient numerical algorithm, based on dynamic programming, is proposed for the quantile hedging of standard call and put options, exotic options and quantile hedging with portfolio constraints. The method is then extended to solve utility indifference pricing, good-deal bounds and expected shortfall problems. |
| Free access at | Official URL |
| Official URL | https://www.tandfonline.com/doi/full/10.1080/14697688.2015.1095347?scroll=top&needAccess=true |
| Digital Object Identifier | 10.1080/14697688.2015.1095347 |
| Other Identification Number | merlin-id:20844 |
| Export |
BibTeX
EP3 XML (ZORA)
|