VAR-BASED OPTIMAL PARTIAL HEDGING (Q5398352)

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scientific article; zbMATH DE number 6262178
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VAR-BASED OPTIMAL PARTIAL HEDGING
scientific article; zbMATH DE number 6262178

    Statements

    title
    VAR-BASED OPTIMAL PARTIAL HEDGING (English)
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    DOI
    10.1017/asb.2013.19
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    author
    Jianfa Cong
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    Ken Seng Tan
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    Chengguo Weng
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    publication date
    27 February 2014
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    zbMATH DE Number
    6262178
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    zbMATH Keywords
    quantile hedging
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    partial hedging
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    optimal strategy
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    value-at-risk
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    bull call spread
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    knock-out call
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