- Cite this article as:
- Föllmer, H. & Leukert, P. Finance Stochast (1999) 3: 251. doi:10.1007/s007800050062
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In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.