O. V. Zverev, V. M. Khametov, “Quantile hedging of European options in incomplete markets. Path 2. Minimax hedging”, Probl. Upr., 2015, no. 1, 47

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Problemy Upravleniya, 2015, Issue 1, Pages 47–52 (Mi pu898)

Control in the socio-economic systems

Quantile hedging of European options in incomplete markets. Path 2. Minimax hedging

O. V. Zverev, V. M. Khametov

National Research University "Higher School of Economics", Moscow

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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 European option calculation is justified with respect to the quantile criterion regarding the worst measure. The justification is based on the $S$-representation of two payment obligations regarding the worst measure.

Keywords: European option, quantile hedging, minimax portfolio, incomplete market, $S$-representation.

Document Type: Article

UDC: 519.2

Language: Russian

Citation: O. V. Zverev, V. M. Khametov, “Quantile hedging of European options in incomplete markets. Path 2. Minimax hedging”, Probl. Upr., 2015, no. 1, 47–52

Citation in format AMSBIB

\Bibitem{ZveKha15}

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

\paper Quantile hedging of European options in incomplete markets. Path~2. Minimax hedging

\jour Probl. Upr.

\yr 2015

\issue 1

\pages 47--52

\mathnet{http://mi.mathnet.ru/pu898}

Linking options:

https://www.mathnet.ru/eng/pu898

https://www.mathnet.ru/eng/pu/v1/p47

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

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

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Abstract page:	236
Full-text PDF :	60
References:	36
First page:	10

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