We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the expected shortfall under a cost constraint and show that...

As a main contribution we present a new approach for studying the problem of optimal partial hedging of an American contingent claim in a finite and complete discrete-time market. We assume that at an early exercise time the investor can borrow the amount she has to pay for the option holder by...

The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the α-quantile price is shown. The large Black–Scholes model is carefully examined. Copyright Springer-Verlag 2007

The paper studies connections between arbitrage and utility maximization in a discrete-time financial market. The market is incomplete. Thus one has several choices of equivalent martingale measures to price contingent claims. Davis determines a unique price for a contingent claim which is based...

In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will...