Hedging using simulation: a least squares approach
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Publication:956433
DOI10.1016/j.jedc.2004.07.006zbMath1198.91215OpenAlexW2056380536MaRDI QIDQ956433
Publication date: 25 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2004.07.006
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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