Variance-Optimal Hedging in Discrete Time
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Publication:4835384
DOI10.1287/MOOR.20.1.1zbMATH Open0835.90008OpenAlexW2153316750MaRDI QIDQ4835384FDOQ4835384
Authors: Martin Schweizer 
Publication date: 18 March 1996
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.20.1.1
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- Learning minimum variance discrete hedging directly from the market
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- Hedging derivatives on two assets with model risk
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