Journal Title
Title of Journal: Finance Stoch
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Abbravation: Finance and Stochastics
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Publisher
Springer-Verlag
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Authors: Sabrina Mulinacci
Publish Date: 2011/01/13
Volume: 15, Issue: 2, Pages: 365-397
Abstract
In this paper we prove the existence of efficient partial hedging strategies for a trader unable to commit the initial minimal amount of money needed to implement a hedging strategy for an American option The attitude towards the shortfall is modeled in terms of a decreasing and convex risk functional satisfying a lower semicontinuity property with respect to the Fatou convergence of stochastic processes Some relevant examples of risk functionals are analyzed Numerical computations in a discretetime market model are provided In a Lévy market an approximating solution is given assuming discretetime trading
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