Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach (Q2464252)
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scientific article; zbMATH DE number 5219148
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| English | Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach |
scientific article; zbMATH DE number 5219148 |
Statements
Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach (English)
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10 December 2007
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multi-period guarantee
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optimal hedging strategies
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transaction costs
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stochastic programming
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0.7552396655082703
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0.7403427958488464
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0.7330690622329712
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0.7311526536941528
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0.7261557579040527
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