EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA (Q3069959): Difference between revisions
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Revision as of 09:33, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA |
scientific article |
Statements
EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA (English)
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2 February 2011
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convex duality
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convex risk measures
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efficient hedging
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shortfall risk
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robust convex loss functionals
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