ROBUST MEAN-VARIANCE HEDGING AND PRICING OF CONTINGENT CLAIMS IN A ONE PERIOD MODEL
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Publication:2892982
DOI10.1142/S0219024912500240zbMath1241.91121arXiv0908.0840OpenAlexW2157972938MaRDI QIDQ2892982
Revaz Tevzadze, Tamaz Uzunashvili
Publication date: 25 June 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0908.0840
Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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