Optimal partial hedging in a discrete-time market as a Knapsack problem (Q607677)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal partial hedging in a discrete-time market as a Knapsack problem |
scientific article; zbMATH DE number 5822844
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal partial hedging in a discrete-time market as a Knapsack problem |
scientific article; zbMATH DE number 5822844 |
Statements
Optimal partial hedging in a discrete-time market as a Knapsack problem (English)
0 references
3 December 2010
0 references
efficient hedging
0 references
quantile hedging
0 references
Knapsack problem
0 references
greedy algorithm
0 references
binomial model
0 references
0 references
0 references
0.8543622493743896
0 references
0.8252846002578735
0 references
0.807961106300354
0 references
0.8019147515296936
0 references
0.7880855798721313
0 references
