Optimal partial hedging in a discrete-time market as a Knapsack problem (Q607677)
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scientific article
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| English | Optimal partial hedging in a discrete-time market as a Knapsack problem |
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Optimal partial hedging in a discrete-time market as a Knapsack problem (English)
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3 December 2010
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efficient hedging
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quantile hedging
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Knapsack problem
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greedy algorithm
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binomial model
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0.8543622493743896
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0.8252846002578735
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0.807961106300354
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0.8019147515296936
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0.7880855798721313
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