Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
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Publication:5696867
DOI10.1142/S0219024903001967zbMath1079.91038OpenAlexW3124586400MaRDI QIDQ5696867
Publication date: 19 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024903001967
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Related Items (5)
Tractable hedging: An implementation of robust hedging strategies ⋮ Tractable hedging with additional hedge instruments ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
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