Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (Q1038336): Difference between revisions

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Latest revision as of 05:17, 2 July 2024

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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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