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On optimal partial hedging in discrete markets - MaRDI portal

On optimal partial hedging in discrete markets (Q5746723)

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scientific article; zbMATH DE number 6256416
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English
On optimal partial hedging in discrete markets
scientific article; zbMATH DE number 6256416

    Statements

    title
    On optimal partial hedging in discrete markets (English)
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    published in
    Optimization
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    publication date
    7 February 2014
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    zbMATH Keywords
    arbitrage-free markets
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    scenario tree
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    dynamic programming
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    linear programming
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    quantile hedging
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    risk of shortfall
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90C08
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    90C20
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    90C39
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    90C46
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    zbMATH DE Number
    6256416
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    OpenAlex ID
    W2048886468
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