On optimal partial hedging in discrete markets
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Publication:5746723
DOI10.1080/02331934.2013.854784zbMath1283.91169OpenAlexW2048886468MaRDI QIDQ5746723
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Publication date: 7 February 2014
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2013.854784
linear programmingdynamic programmingscenario treequantile hedgingarbitrage-free marketsrisk of shortfall
Quadratic programming (90C20) Optimality conditions and duality in mathematical programming (90C46) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Dynamic programming (90C39) Portfolio theory (91G10)
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Cites Work
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- CALIBRATED OPTION BOUNDS