Problemy Upravleniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Probl. Upr.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
Full-text PDF (556 kB)
References:
PDF
HTML
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
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Проблемы управления
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024