Quantile hedging for contingent claims in an uncertain financial environment
This paper first studies the quantile hedging problem of contingent claims in an uncertain market model. A special kind of no-arbitrage, that is, the absence of immediate profit, is characterized. Instead of the traditional no-arbitrage targeting the whole market, the absence of immediate profit dep...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-04-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023799?viewType=HTML |