Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (Q2440802)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming |
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Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming (English)
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19 March 2014
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contingent claim
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pricing
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hedging
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Sharpe ratio
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martingales
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transaction costs
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convex programming
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