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Minimax Estimation of Value-at-Risk under Hedging of an American Contingent Claim in a Discrete Financial Marketстатья
- Автор: Soloviev Alexey I.
- Сборник: Contributions to Game Theory and Management
- Том: 9
- Год издания: 2016
- Место издания: SPb.: Graduate School of Management SPbU
- Аннотация: The game problems between seller and buyer of an American contingent claim relate to large scale problems because a number of buyer's strategies grows overexponentially. Therefore, decomposition of such games turns out to be a fundamental problem. In this paper we prove the existence of a minimax monotonous (in time) strategy of the seller in a loss minimization problem considering value-at-risk measure of loss. The given result allows to substantially decrease a number of constraints in the original problem and lets us turn to an equivalent mixed integer problem with admissible dimension.
- Добавил в систему: Соловьев Алексей Игоревич