Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61297
Authors: 
Föllmer, Hans
Leukert, Peter
Year of Publication: 
1998
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,13
Abstract: 
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.
Subjects: 
Hedging
superhedging
Neyman Pearson lemma
stochastic volatility
value at risk
JEL: 
G10
G12
G13
D81
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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