Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (Q1038336)
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scientific article; zbMATH DE number 5634708
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming |
scientific article; zbMATH DE number 5634708 |
Statements
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming (English)
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17 November 2009
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contingent claim
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pricing
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hedging
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martingales
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stochastic linear programming
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transaction costs
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0.9151624
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0.8949972
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0.89361596
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0.89327145
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0.89310545
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