On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market
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More about this item
Keywords
Partial Hedging; Efficient Hedging; Expected Loss; American Claims; Incomplete Markets; Dynamic Measures of Risk.;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2005-10-29 (Finance)
- NEP-RMG-2005-10-29 (Risk Management)
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