O. V. Zverev, V. M. Khametov, “Quantile hedging of European options in incomplete markets. Part I. Superhedging”, Probl. Upr., 2014, no. 6, 31

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Problemy Upravleniya, 2014, Issue 6, Pages 31–44 (Mi pu887)

This article is cited in 2 scientific papers (total in 2 papers)

Control in the socio-economic systems

Quantile hedging of European options in incomplete markets. Part I. Superhedging

O. V. Zverev, V. M. Khametov

National Research University "Higher School of Economics", Moscow

Full-text PDF (1107 kB) Citations (2)

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Abstract: The paper considers solution of the European option calculating problem with quantile criterion in incomplete market with discrete time. The method of calculating of European option with quantile criterion with respect to any measure from the class of equivalent measures is justified on the basis of S-expansion of the two payment obligations.

Keywords: European option, quantile hedging, superhedging portfolio, incomplete market, optional expansion.

Document Type: Article

UDC: 519.2

Language: Russian

Citation: O. V. Zverev, V. M. Khametov, “Quantile hedging of European options in incomplete markets. Part I. Superhedging”, Probl. Upr., 2014, no. 6, 31–44

Citation in format AMSBIB

\Bibitem{ZveKha14}

\by O.~V.~Zverev, V.~M.~Khametov

\paper Quantile hedging of European options in incomplete markets. Part~I. Superhedging

\jour Probl. Upr.

\yr 2014

\issue 6

\pages 31--44

\mathnet{http://mi.mathnet.ru/pu887}

Linking options:

https://www.mathnet.ru/eng/pu887

https://www.mathnet.ru/eng/pu/v6/p31

Cycle of papers

Quantile hedging of European options in incomplete markets. Part I. Superhedging
O. V. Zverev, V. M. Khametov
Probl. Upr., 2014, 6, 31–44
Quantile hedging of European options in incomplete markets. Path 2. Minimax hedging
O. V. Zverev, V. M. Khametov
Probl. Upr., 2015, 1, 47–52

This publication is cited in the following 2 articles:

Citing articles in Google Scholar: Russian citations, English citations
Related articles in Google Scholar: Russian articles, English articles

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Abstract page:	377
Full-text PDF :	108
References:	72
First page:	22

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