VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING (Q3022047)

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VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
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    title
    VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING (English)
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    author
    Yuji Yamada
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    James A. Primbs
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    publication date
    22 June 2005
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    zbMATH DE Number
    2177825
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    zbMATH Keywords
    dynamic hedging
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    wealth balance distribution
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    moments
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    backward equation
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    convex probability bounds
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