EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA
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Publication:3069959
DOI10.1111/j.1467-9965.2010.00425.xzbMath1226.91076OpenAlexW2137808752MaRDI QIDQ3069959
Erick Treviño Aguilar, Daniel Hernández-Hernández
Publication date: 2 February 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00425.x
Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)
Related Items (4)
Duality in a Problem of Static Partial Hedging under Convex Constraints ⋮ Unnamed Item ⋮ Characterization of the value process in robust efficient hedging ⋮ Testing hypotheses for measures with different masses: Four optimization problems
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