Optimal portfolio hedging with nonlinear derivatives and transaction costs (Q1300634)
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scientific article; zbMATH DE number 1330760
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal portfolio hedging with nonlinear derivatives and transaction costs |
scientific article; zbMATH DE number 1330760 |
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Optimal portfolio hedging with nonlinear derivatives and transaction costs (English)
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1 September 1999
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optimal portfolio hedging
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nonlinear programming
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Monte Carlo simulation
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0.8334453701972961
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0.826501190662384
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0.8215849995613098
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0.8196953535079956
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