Optimal static quadratic hedging
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Publication:4554507
DOI10.1080/14697688.2016.1161229zbMath1400.91599arXiv1506.02074OpenAlexW3123956888MaRDI QIDQ4554507
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1506.02074
Related Items (4)
Semi-Robust Replication of Barrier-Style Claims on Price and Volatility ⋮ On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution ⋮ Robust replication of volatility and hybrid derivatives on jump diffusions ⋮ Static hedging of weather and price risks in electricity markets
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