PL EN


2013 | 154 | 113-123
Article title

Optymalny zrandomizowany test na skończonym rynku zupełnym

Authors
Content
Title variants
EN
Optimal Randomized Test in the Finite Complete Market
Languages of publication
PL
Abstracts
EN
We deal with the finite complete arbitrage free financial market model. There are given a liability ( as selling an european option) and an initial amount lower than the initial value of the liability. The quantile hedging is based upon the generalized Neyman- Pearson lemma, but this approach don't give all information on the optimal solution in the considered case. In the present paper the optimal randomized test is analysed with some methods of the mathematical programming. It is showed that the minimal generalized density of probabilities equals the needed lower quantil. Moreover we construct the optimal solutions set. It is the basis to formulate the sufficient condition of the classical quantile hedging.
Year
Volume
154
Pages
113-123
Physical description
Contributors
author
References
  • Follmer H., Leukert P., Quantile hedging. "Finance Stochastics" 1999, No. 3.
  • Follmer H., Schied A., Stochastic finance, de Gruyter, Berlin 2004.
  • Zangwill W., Programowanie nieliniowe, WNT, Warszawa 1974.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-d6f226a5-a452-4773-8f3e-9857adbfde80
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