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Option pricing and hedging with minimum local expected shortfall - MaRDI portal

Option pricing and hedging with minimum local expected shortfall (Q4610270)

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scientific article; zbMATH DE number 7002160
Language Label Description Also known as
English
Option pricing and hedging with minimum local expected shortfall
scientific article; zbMATH DE number 7002160

    Statements

    author
    Benoît Pochart
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    Jean-Philippe Bouchaud
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    publication date
    15 January 2019
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    zbMATH Keywords
    option pricing
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    hedging
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    Monte-Carlo
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    title
    Option pricing and hedging with minimum local expected shortfall (English)
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    cites work
    Quantile hedging
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    Q4350437
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    Q5310532
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    zbMATH DE Number
    7002160
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    OpenAlex ID
    W3123846816
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    arXiv ID
    cond-mat/0308570
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