Optimal partial hedging of an American option: shifting the focus to the expiration date

As a main contribution we present a new approach for studying the problem of optimal partial hedging of an American contingent claim in a finite and complete discrete-time market. We assume that at an early exercise time the investor can borrow the amount she has to pay for the option holder by ente...

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Veröffentlicht in:Mathematical methods of operations research (Heidelberg, Germany) Germany), 2012-06, Vol.75 (3), p.221-243
1. Verfasser: Lindberg, Peter
Format: Artikel
Sprache:eng
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