Optimal Hedging of American Options in Discrete Time (Q2917430)

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Optimal Hedging of American Options in Discrete Time
scientific article

    Statements

    title
    Optimal Hedging of American Options in Discrete Time (English)
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    author
    Bruno Rémillard
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    Alexandre Hocquard
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    Hugues Langlois
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    Nicolas Papageorgiou
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    publication date
    28 September 2012
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    zbMATH Keywords
    American option
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    bermudan option
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    risk
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    martingale
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    Identifiers

    zbMATH DE Number
    6088200
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    OpenAlex ID
    W1925015885
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