Ilhan, AytaƧ; Jonsson, Mattias; Sircar, Ronnie - In: Stochastic Processes and their Applications 119 (2009) 10, pp. 3608-3632
We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an...