Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
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Publication:1621616
DOI10.1007/s11147-017-9137-3zbMath1417.91501OpenAlexW3123607206MaRDI QIDQ1621616
Johannes Gerer, Gregor Dorfleitner
Publication date: 9 November 2018
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://epub.uni-regensburg.de/35818/1/SSRN-id2764759.pdf
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
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Cites Work
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