Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach

DOI10.1287/opre.49.3.372.11218zbMath1163.91381OpenAlexW1977695619MaRDI QIDQ3635008

Leonid Kogan, Andrew W. Lo, Dimitris J. Bertsimas

Publication date: 3 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d82ea47da159ec3712435ef619fab6e29d78f471

zbMATH Keywords

hedgingderivativespricingstochastic optimization of hedging error

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

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