Multi-period minimax hedging strategies (Q1268215)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period minimax hedging strategies |
scientific article |
Statements
Multi-period minimax hedging strategies (English)
0 references
18 October 1998
0 references
transaction costs
0 references
nonsmooth optimization
0 references
option pricing
0 references
simulation
0 references
minimax strategy
0 references
worst-case potential hedging error
0 references
two-period setting
0 references
