Hedging of options with the help of conditional expected loss criterion

DOI10.1134/S1064562407040199zbMATH Open1158.91013OpenAlexW2057215459MaRDI QIDQ2377522

I. S. Smirnov

Publication date: 19 January 2009

Published in: Doklady Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064562407040199

zbMATH Keywords

optionsCVaRhedging of contingent claims

Mathematics Subject Classification ID

Cites Work

• Quantile hedging

Related Items (2)

A general framework for hedging and speculating with options ⋮ Can expected shortfall and Value-at-Risk be used to statically hedge options?

This page was built for publication: Hedging of options with the help of conditional expected loss criterion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2377522)