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http://hdl.handle.net/11701/11938
Полная запись метаданных
Поле DC | Значение | Язык |
---|---|---|
dc.contributor.author | Soloviev, Alexey I. | - |
dc.date.accessioned | 2018-07-26T08:07:51Z | - |
dc.date.available | 2018-07-26T08:07:51Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Soloviev, A.I., 2016. Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market. Contributions to Game Theory and Management, 9(0), pp.276-286. | en_GB |
dc.identifier.uri | http://hdl.handle.net/11701/11938 | - |
dc.description | Contributions to game theory and management, vol. X. Collected papers presented on the Tenth International Conference Game Theory and Management / Editors Leon A. Petrosyan, Nikolay A. Zenkevich. – SPb.: Saint Petersburg State University, 2017. – 404 p. The collection contains papers accepted for the Tenth International Conference Game Theory and Management (July 7-9, 2016, St. Petersburg State University, St. Petersburg, Russia). | en_GB |
dc.description.abstract | 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. | en_GB |
dc.description.sponsorship | The reported study was funded by RFBR according to the research project No. 16-31-00070_mol_a. | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | Saint Petersburg State University | en_GB |
dc.subject | decision making under uncertainty | en_GB |
dc.subject | value-at-risk | en_GB |
dc.subject | scenario tree | en_GB |
dc.subject | stopping time | en_GB |
dc.subject | hedging | en_GB |
dc.title | Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market | en_GB |
dc.type | Other | en_GB |
Располагается в коллекциях: | Conference Papers & Presentations |
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