A dual representation of gain–loss hedging for European claims in discrete time
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Publication:2903127
DOI10.1080/02331934.2012.665053zbMath1245.91093OpenAlexW2071529213MaRDI QIDQ2903127
Publication date: 23 August 2012
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2012.665053
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Cites Work
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- Optimization of Convex Risk Functions
- Convex Hedging in Incomplete Markets
- On Utility-Based Superreplication Prices of Contingent Claims with Unbounded Payoffs
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