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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2014 Issue 6, Pages 31–44 (Mi pu887)

This article is cited in 2 papers

Control in the socio-economic systems

Quantile hedging of European options in incomplete markets. Part I. Superhedging

O. V. Zverev, V. M. Khametov

National Research University "Higher School of Economics", Moscow

Abstract: The paper considers solution of the European option calculating problem with quantile criterion in incomplete market with discrete time. The method of calculating of European option with quantile criterion with respect to any measure from the class of equivalent measures is justified on the basis of S-expansion of the two payment obligations.

Keywords: European option, quantile hedging, superhedging portfolio, incomplete market, optional expansion.

UDC: 519.2



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