caa a22 4500 445363347 CHVBK 20180317142922.0 cr unu---uuuuu 170323e20110601xx s 000 0 eng 10.1007/s00780-010-0151-7 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0151-7 Mulinacci Sabrina Dipartimento di Matematica per le Scienze Economiche e Sociali, University of Bologna, Viale Filopanti 5, 40126, Bologna, Italy aut The efficient hedging problem for American options [Elektronische Daten] [Sabrina Mulinacci] 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 discrete-time market model are provided. In a Lévy market, an approximating solution is given assuming discrete-time trading. Springer-Verlag, 2010 American options nationallicence Convex risk functionals nationallicence Fatou convergence nationallicence Worst stopping nationallicence Expected shortfall nationallicence Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 365-397 0949-2984 15:2<365 2011 15 780 https://doi.org/10.1007/s00780-010-0151-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0151-7 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Mulinacci Sabrina Dipartimento di Matematica per le Scienze Economiche e Sociali, University of Bologna, Viale Filopanti 5, 40126, Bologna, Italy aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/2(2011-06-01), 365-397 0949-2984 15:2<365 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer