Jan 8, 2008 · The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-financing portfolio whose initial value ...

The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-financing portfolio whose initial value is smaller than ...

Oct 22, 2024 · The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self-financing portfolio whose initial value ...

In this paper we consider the situation of an investor who aims to hedge a European contingent claim through a self-nancing portfolio in a binomial market model ...

The shortfall risk is defined as the optimal mean value of the terminal deficit produced by a self–financing portfolio whose initial value is smaller than ...

The model represents an extension of the Cox-Ross-Rubinstein binomial option-pricing model to cover the case of proportional transaction costs for one risky ...

Apr 8, 2010 · Our approach is to use an appropriate sequence of binomial models in order to approximate the shortfall risk and to construct ”almost” optimal ...

The main question that we study is the minimization of shortfall risk in the Black–Scholes (BS) model under constraints on the initial capital.

Jun 14, 2012 · We show that for this case the shortfall risk is a limit of similar terms in an appropriate sequence of binomial models. We also prove that in ...

Replication and shortfall risk in a binomial model with transaction costs. Barbara Trivellato. Original Article 08 January 2008 Pages: 1 - 26. Optimal payout ...