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Superhedging price

Known as: Subhedging price, Super-hedging price 
The superhedging price is a coherent risk measure. The superhedging price of a portfolio (A) is equivalent to the smallest amount necessary to be… Expand
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Papers overview

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2016
2016
We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic… Expand
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2015
2015
Abstract Current years, prefabrication construction has been widely used in the building industry, from which large number of… Expand
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2013
2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and… Expand
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2012
2012
We obtain bounds on the distribution of the maximum of a martingale with fixed marginals at finitely many intermediate times. The… Expand
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Highly Cited
2012
Highly Cited
2012
Fluctuating wind production over short time periods is balanced by adjusting generation from thermal plants to meet demand… Expand
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Highly Cited
2005
Highly Cited
2005
For autonomous helicopter flight, it is common to separate the flight control problem into an inner loop that controls attitude… Expand
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2003
2003
It is often presumed that higher market volatility begets more active trading in derivatives markets. A number of empirical… Expand
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2003
2003
For discrete arithmetic Asian options the payoff depends on the price average of the underlying asset. Due to the dependence… Expand
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Highly Cited
1999
Highly Cited
1999
Abstract. We consider the mean-variance hedging problem when asset prices follow Itô processes in an incomplete market framework… Expand
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Highly Cited
1997
Highly Cited
1997
We explore the pricing of Asian options by numerically solving the the associated partial di erential equations We demonstrate… Expand
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