Efficient hedging of European options with robust convex loss functionals: a dual-representation formula (Q3069959)
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scientific article; zbMATH DE number 5843569
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| English | Efficient hedging of European options with robust convex loss functionals: a dual-representation formula |
scientific article; zbMATH DE number 5843569 |
Statements
EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA (English)
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2 February 2011
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convex duality
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convex risk measures
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efficient hedging
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shortfall risk
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robust convex loss functionals
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0.7957669496536255
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0.7888409495353699
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0.7880497574806213
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0.7870633006095886
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0.7837379574775696
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