Option pricing and hedging with minimum local expected shortfall
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Publication:4610270
DOI10.1080/14697680400023329zbMath1405.91698arXivcond-mat/0308570OpenAlexW3123846816MaRDI QIDQ4610270
Benoît Pochart, Jean-Philippe Bouchaud
Publication date: 15 January 2019
Full work available at URL: https://arxiv.org/abs/cond-mat/0308570
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Optimal Hedging of American Options in Discrete Time ⋮ Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
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