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Persistent link: https://www.econbiz.de/10012239989
In incomplete financial markets, not every contingent claim can be perfectly replicated by a self-financing strategy. In this paper, we minimize the risk that the value of the hedging portfolio falls below the payoff of the claim at time T. We use a coherent risk measure, introduced by Artzner...
Persistent link: https://www.econbiz.de/10005279129