Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach (Q2464252): Difference between revisions

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Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
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    Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach (English)
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    10 December 2007
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    multi-period guarantee
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    optimal hedging strategies
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    transaction costs
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    stochastic programming
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