A Framework for Dynamic Hedging under Convex Risk Measures
From MaRDI portal
Publication:2904890
DOI10.1007/978-3-0348-0021-1_24zbMath1246.91120MaRDI QIDQ2904890
Ronnie Sircar, Antoine Toussaint
Publication date: 24 August 2012
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_24
Related Items
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS, Optimal static-dynamic hedges for exotic options under convex risk measures