Valutazione e copertura di opzioni Americane in mercati incompleti: strategie di rischio minimo

Giovanni Becchere

Bollettino dell'Unione Matematica Italiana (2000)

  • Volume: 3-A, Issue: 1S, page 21-24
  • ISSN: 0392-4041

How to cite

top

Becchere, Giovanni. "Valutazione e copertura di opzioni Americane in mercati incompleti: strategie di rischio minimo." Bollettino dell'Unione Matematica Italiana 3-A.1S (2000): 21-24. <http://eudml.org/doc/260939>.

@article{Becchere2000,
abstract = {},
author = {Becchere, Giovanni},
journal = {Bollettino dell'Unione Matematica Italiana},
language = {ita},
month = {4},
number = {1S},
pages = {21-24},
publisher = {Unione Matematica Italiana},
title = {Valutazione e copertura di opzioni Americane in mercati incompleti: strategie di rischio minimo},
url = {http://eudml.org/doc/260939},
volume = {3-A},
year = {2000},
}

TY - JOUR
AU - Becchere, Giovanni
TI - Valutazione e copertura di opzioni Americane in mercati incompleti: strategie di rischio minimo
JO - Bollettino dell'Unione Matematica Italiana
DA - 2000/4//
PB - Unione Matematica Italiana
VL - 3-A
IS - 1S
SP - 21
EP - 24
AB -
LA - ita
UR - http://eudml.org/doc/260939
ER -

References

top
  1. BECCHERE, G. e MULINACCI, S., Hedging American options in Merton’s model: a locally risk-minimizing approach, Asia Pacific Financial Markets, A Special Issue on Mathematical Finance, (to appear). Zbl1153.91461
  2. ELKAROUI, N., Les aspect probabilistes du contrôle stochastique, SIAM J. Control Optim., 33(1995), 29-66. Zbl0472.60002
  3. FÖLLMER, H. e SCHWEIZER, M., Hedging of contingent claims under incomplete information, Applied Stochastic Analysis, 5(1991), 389-414. Zbl0738.90007MR1108430
  4. FÖLLMER, H. e SONDERMANN, D., Hedging of non-redundant contingent claims, Contributions to Mathematical Economics (1986), 205-223. Zbl0663.90006
  5. MERTON, R. C., Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3(1976), 125-144. Zbl1131.91344
  6. SCHWEIZER, M., Hedging of Options in a General Semimartingale Model, Diss. ETHZ No. 8615 (1988). 
  7. SCHWEIZER, M., Risk-minimality and orthogonality of martingales, Stochastic Stochastic Rep., 30(1990), 123-131. Zbl0702.60049MR1054195

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.