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JOURNALS // Problemy Upravleniya // Archive

Probl. Upr., 2015 Issue 1, Pages 47–52 (Mi pu898)

Control in the socio-economic systems

Quantile hedging of European options in incomplete markets. Path 2. Minimax hedging

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 European option calculation is justified with respect to the quantile criterion regarding the worst measure. The justification is based on the $S$-representation of two payment obligations regarding the worst measure.

Keywords: European option, quantile hedging, minimax portfolio, incomplete market, $S$-representation.

UDC: 519.2



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