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Avtomatika i Telemekhanika, 2016, Issue 6, Pages 121–144 (Mi at14489)  
This article is cited in 3 scientific papers (total in 3 papers)

Control in Social Economic Systems, Medicine, and Biology

Extremal measures and hedging in American options

V. M. Khametova, E. A. Shelemekhb

a Moscow Institute of Electronics and Mathematics, National Research University Higher School of Economics, Moscow, Russia
b Central Economics and Mathematics Institute, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (714 kB) Citations (3)
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Abstract: We establish existence conditions for extremal probability measures, study their properties, and consider applications of such measures for solving the perfect hedging problem for American options on incomplete “frictionless” markets with finite horizon. We develop an algorithm for computing an American option and solve a corresponding new example with this algorithm.
Funding agency Grant number
Russian Foundation for Basic Research 13-01-00784
Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.07.2013
English version:
Automation and Remote Control, 2016, Volume 77, Issue 6, Pages 1041–1059
DOI: https://doi.org/10.1134/S0005117916060084
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. M. Khametov, E. A. Shelemekh, “Extremal measures and hedging in American options”, Avtomat. i Telemekh., 2016, no. 6, 121–144; Autom. Remote Control, 77:6 (2016), 1041–1059
Citation in format AMSBIB
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\paper Extremal measures and hedging in American options
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\pages 121--144
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Linking options:
  • https://www.mathnet.ru/eng/at14489
  • https://www.mathnet.ru/eng/at/y2016/i6/p121
    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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