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The martingale method of shortfall risk minimization in a discrete time market

100%

Kociński M.

Applicationes Mathematicae

2012

tom 39

nr 4

413-424

The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.

Hedging of the European option in discrete time under transaction costs depending on time

100%

Kociński M.

Applicationes Mathematicae

2010

tom 37

nr 2

201-214

Hedging of the European option in a discrete time financial market with proportional transaction costs is considered. It is shown that for a certain class of options the set of portfolios which allow the seller to pay the claim of the buyer in quite a general discrete time market model is the same as the set of such portfolios under the assumption that the stock price movement is given by a suitable CRR model.

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2 Applicationes Mathematicae

2 Kociński M.

1 2012

1 2010

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The martingale method of shortfall risk minimization in a discrete time market

Hedging of the European option in discrete time under transaction costs depending on time