2006-01-20Buch DOI: 10.18452/3713
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 13, SFB 373 Papers, ISSN:1436-1086