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- W2058098030 abstract "We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the expected shortfall under a cost constraint and show that these problems can be treated as so called knapsack problems, which are a widely researched subject in linear programming. This observation gives us better understanding of the problem of optimal hedging in discrete time." @default.
- W2058098030 created "2016-06-24" @default.
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- W2058098030 date "2010-08-31" @default.
- W2058098030 modified "2023-09-23" @default.
- W2058098030 title "Optimal partial hedging in a discrete-time market as a knapsack problem" @default.
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- W2058098030 doi "https://doi.org/10.1007/s00186-010-0327-0" @default.
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