Shortfall risk minimising strategies in the binomial model: characterisation and convergence
نویسندگان
چکیده
منابع مشابه
Shortfall risk minimising strategies in the binomial model: characterisation and convergence
In this paper we study the dependence on the loss function of the strategy which minimises the expected shortfall risk when dealing with a financial contingent claim in the particular situation of a binomial model. After having characterised the optimal strategies in the particular cases when the loss function is concave, linear or strictly convex, we analyse how optimal strategies change when ...
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In this paper we study the dependence on the loss function of the strategy which minimises the expected shortfall risk when dealing with a financial contingent claim in the particular situation of a binomial model. After having characterised the optimal strategies in the particular cases when the loss function is concave, linear or strictly convex, we analyse how optimal strategies change when ...
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We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black–Scholes market considering Lipschitz continuous path dependent payoffs for both discrete and continuous time cases. This results are new also for usual American style options. The paper continues and extends the study of [6] where estimates for binomial...
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Abstract. We consider a price process model driven by jump-diffusion and study the discretisation and simulation of the related locally risk-minimizing strategy where we focus mainly on hedging Asian and spread options. Using the discretisation scheme and the convergence results on backward stochastic differential equations as studied in Khedher and Vanmaele [17], we show that the locally risk-...
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We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim in a binomial market model and the initial capital is insufficient for a perfect hedge. This problem has been solved under complete information on the underlying model in [3]. We present two possible solutions to the same problem in the case of incomplete information, namely when the underlying ...
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2006
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-006-0083-3