HEDGING BY SEQUENTIAL REGRESSIONS REVISITED (Q3650924)

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HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
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    title
    HEDGING BY SEQUENTIAL REGRESSIONS REVISITED (English)
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    author
    Aleš Černý
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    Jan Kallsen
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    publication date
    7 December 2009
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    zbMATH DE Number
    5643169
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    zbMATH Keywords
    option
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    hedging
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    trading strategy
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    sequential regression
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    opportunity-neutral measure
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    Sharpe ratio
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    OpenAlex ID
    W3125387396
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