Dynamic conic hedging for competitiveness (Q317543)

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Dynamic conic hedging for competitiveness
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    title
    Dynamic conic hedging for competitiveness (English)
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    author
    Dilip B. Madan
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    Martijn R. Pistorius
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    Wim Schoutens
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    Dilip B. Madan
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    publication date
    30 September 2016
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    zbMATH DE Number
    6631958
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    zbMATH Keywords
    static and semi-static hedging
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    nonlinear expectation
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    variance gamma model
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    distorted expectation
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