AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING
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Publication:2882689
DOI10.1142/S0219024912500136zbMath1282.91349MaRDI QIDQ2882689
Steven Vanduffel, Aleš Ahčan, Luc Henrard, Mateusz Maj
Publication date: 7 May 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY, On the Method of Optimal Portfolio Choice by Cost-Efficiency, Construction and Hedging of Optimal Payoffs in Lévy Models, Optimal claims with fixed payoff structure, Asian and Australian options: a common perspective, Cost-efficiency in multivariate Lévy models, OPTIMALITY OF PAYOFFS IN LÉVY MODELS
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