scientific article; zbMATH DE number 1642347
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Publication:2741111
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(18)- Quantile hedging
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- Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
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- Partial hedging and cash requirements in discrete time
- Pricing and hedging of quantile options in a flexible jump diffusion model
- Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence
- Efficient hedging currency options in fractional Brownian motion model with jumps
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