Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (Q1038336): Difference between revisions
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English | Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming |
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Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (English)
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17 November 2009
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contingent claim
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pricing
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hedging
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martingales
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stochastic linear programming
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transaction costs
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