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- W2015963814 abstract "Abstract Our problem here starts when the seller of an American option H has an initial capital c and aims to control shortfall risk by optimally trading in the market. We consider the case where the initial capital c is smaller than the superhedging cost of H . Thus, it is meaningful to consider efficient strategies of partial hedging . We investigate in the American case the approach of Föllmer and Leukert of efficiently hedging European options. At the same time, we consider situations where the model R is ambiguous. This implies that the seller´s preference is going to be represented by a robust loss functional, involving a whole class of absolutely continuous probability measures Q . We apply a construction due to Föllmer and Kramkov on the existence of Fatou-convergent sequences of convex combinations of supermartingales, to show that optimal strategies minimizing such a functional exist. We then show that the robust efficient hedging problem can be reduced into a non-robust problem of efficient hedging with respect to a worst case probability measure Q * ∈ Q , if Q satisfies a compactness condition and H is essentially bounded." @default.
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- W2015963814 date "2009-11-01" @default.
- W2015963814 modified "2023-09-27" @default.
- W2015963814 title "Robust efficient hedging for American options: The existence of worst case probability measures" @default.
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- W2015963814 doi "https://doi.org/10.1524/stnd.2009.1005" @default.
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