Optimal portfolio hedging with nonlinear derivatives and transaction costs
type: Item
instance of: scholarly article
title: Optimal portfolio hedging with nonlinear derivatives and transaction costs
zbMATH Open document ID: 0934.91026
DOI: 10.1023/A:1008651416896
author: Jussi Keppo
author: Samu Peura
published in: Computational Economics
publication date: 1999-09-01T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 1330760
zbMATH Keywords: optimal portfolio hedging
zbMATH Keywords: nonlinear programming
zbMATH Keywords: Monte Carlo simulation
MaRDI profile type: Publication
full work available at URL: a:1008651416896
OpenAlex ID: W1605391584
description: scientific article; zbMATH DE number 1330760