HOBSON, DAVID; PENN, JEREMY - In: International Journal of Theoretical and Applied … 08 (2005) 06, pp. 763-789
Let Xϕ denote the trading wealth generated using a strategy ϕ, and let CT be a contingent claim which is not spanned by the traded assets. Consider the problem of finding the strategy which maximizes the probability of terminal wealth meeting or exceeding the claim value at some fixed time...