Equal risk pricing and hedging of financial derivatives with convex risk measures (Q5068070)
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scientific article; zbMATH DE number 7503251
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Equal risk pricing and hedging of financial derivatives with convex risk measures |
scientific article; zbMATH DE number 7503251 |
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Equal risk pricing and hedging of financial derivatives with convex risk measures (English)
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5 April 2022
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option pricing
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risk hedging
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convex risk measures
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incomplete market
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dynamic programming
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numerical optimization
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