We show the existence of efficient hedge strategies for an investor facing the problem of a lack of initial capital for implementing a (super-) hedging strategy for an American contingent claim in a general incomplete market. In order to optimize we consider the maximization of the expected...

In a recent paper, Crosby introduced a multi-factor jump-diffusion model which would allow futures (or forward) commodity prices to be modelled in a way which captured empirically observed features of the commodity and commodity options markets. However, the model focused on modelling a single...