OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
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Publication:3008482
DOI10.1111/j.1467-9965.2010.00455.xzbMath1215.91073MaRDI QIDQ3008482
Vicky Henderson, David G. Hobson
Publication date: 16 June 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00455.x
91B16: Utility theory
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory