Hedging of Options with a Given Probability
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Publication:4252982
DOI10.1137/S0040585X97976738zbMath0977.91020MaRDI QIDQ4252982
Publication date: 23 June 1999
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
martingales; likelihood ratio; American options; contingent claims; financial mathematics; quantile hedging
60H30: Applications of stochastic analysis (to PDEs, etc.)
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