Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
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Publication:784734
DOI10.1007/s00780-020-00428-1zbMath1447.91173OpenAlexW2943323028MaRDI QIDQ784734
Emmanuel Gobet, Xavier Warin, Isaque Pimentel
Publication date: 3 August 2020
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-020-00428-1
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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