Optimal portfolio hedging with nonlinear derivatives and transaction costs

DOI10.1023/A:1008651416896zbMath0934.91026OpenAlexW1605391584MaRDI QIDQ1300634

Samu Peura, Jussi Keppo

Publication date: 1 September 1999

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008651416896

zbMATH Keywords

Monte Carlo simulationnonlinear programmingoptimal portfolio hedging

Mathematics Subject Classification ID

Nonlinear programming (90C30) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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