ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES
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Publication:3523520
DOI10.1142/S0219024999000108zbMath1153.91492OpenAlexW3122398659MaRDI QIDQ3523520
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024999000108
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Cites Work
- Mean-variance hedging in continuous time
- Mean-variance hedging for general claims
- Hedging contingent claims with constrained portfolios
- Forward, backward and symmetric stochastic integration
- Approximating random variables by stochastic integrals
- Approximation pricing and the variance-optimal martingale measure
- Variance-Optimal Hedging in Discrete Time
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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