title: Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market
metadata.name: dc.contributor.author
metadata.value: Soloviev, Alexey I.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2018-07-26T08:07:51Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2018-07-26T08:07:51Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2016
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: 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.
metadata.lang: en_GB
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/11938
metadata.lang: -
metadata.name: dc.description
metadata.value: 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).
metadata.lang: en_GB
metadata.name: dc.description.abstract
metadata.value: 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.
metadata.lang: en_GB
metadata.name: dc.description.sponsorship
metadata.value: The reported study was funded by RFBR according to the research project No. 16-31-00070_mol_a.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: en
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: Saint Petersburg State University
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: decision making under uncertainty
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: value-at-risk
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: scenario tree
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: stopping time
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: hedging
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Minimax estimation of value-at-risk under hedging of an American contingent claim in a discrete financial market
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Other
metadata.lang: en_GB