VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
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Publication:3022047
DOI10.1142/S0219024902001468zbMath1138.91485MaRDI QIDQ3022047
Publication date: 22 June 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Related Items (3)
A new computational tool for analysing dynamic hedging under transaction costs ⋮ Distributionally robust expectation inequalities for structured distributions ⋮ Generalized Gauss inequalities via semidefinite programming
Cites Work
- The Pricing of Options and Corporate Liabilities
- Mean-variance hedging in continuous time
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST
- A Probability Distribution and Its Uses in Fitting Data
- On Minimizing Risk in Incomplete Markets Option Pricing Models
- On Quadratic Cost Criteria for Option Hedging
- Variance-Optimal Hedging in Discrete Time
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
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