Multi-period minimax hedging strategies (Q1268215)
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scientific article; zbMATH DE number 1212216
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-period minimax hedging strategies |
scientific article; zbMATH DE number 1212216 |
Statements
Multi-period minimax hedging strategies (English)
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18 October 1998
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transaction costs
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nonsmooth optimization
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option pricing
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simulation
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minimax strategy
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worst-case potential hedging error
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two-period setting
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