On optimal partial hedging in discrete markets (Q5746723): Difference between revisions

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Latest revision as of 08:52, 7 July 2024

scientific article; zbMATH DE number 6256416
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English
On optimal partial hedging in discrete markets
scientific article; zbMATH DE number 6256416

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    On optimal partial hedging in discrete markets (English)
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    7 February 2014
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    arbitrage-free markets
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    scenario tree
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    dynamic programming
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    linear programming
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    quantile hedging
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    risk of shortfall
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