Dynamic hedging in incomplete markets using risk measures

DOI10.1093/IMAMAN/DPAB017OpenAlexW3170101693MaRDI QIDQ5065594

Saeb Hachem, Patrice Gaillardetz

Publication date: 22 March 2022

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpab017

zbMATH Keywords

linear programmingstochastic dynamic programmingrisk measurespartial hedgingparametric linear programminglocal risk-minimizing strategies

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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