Optimal Discretization of Hedging Strategies with Directional Views (Q2797752)

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Optimal Discretization of Hedging Strategies with Directional Views
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    Optimal Discretization of Hedging Strategies with Directional Views (English)
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    31 March 2016
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    hedging strategies
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    discretization
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    delta hedging
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    hitting times
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    linear-quadratic optimal control problem
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    asymptotic optimality
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    expectation-error criterion
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    semimartingales
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    limit theorems
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