Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Studia Ekonomiczne

Authors help

  1. 1 Utkin J.

Years help

  1. 1 2013

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  Mathematical optimization
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

Optymalny zrandomizowany test na skończonym rynku zupełnym

100%
Utkin J.
Studia Ekonomiczne
|
2013
|
vol. 154
113-123
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.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.