Duality in a Problem of Static Partial Hedging under Convex Constraints
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Publication:3456841
DOI10.1137/140959614zbMath1331.91184OpenAlexW2182008296MaRDI QIDQ3456841
Publication date: 9 December 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/140959614
Optimality conditions and duality in mathematical programming (90C46) Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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