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Semi-Static and Sparse Variance-Optimal Hedging - MaRDI portal

Semi-Static and Sparse Variance-Optimal Hedging

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Publication:6291397

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DOI10.1111/mafi.12235zbMath1519.91255arXiv1709.05519MaRDI QIDQ6291397

Paolo Di Tella, Martin Haubold, Martin Keller-Ressel

Publication date: 16 September 2017

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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