Lower hedging of American contingent claims with minimal...

Discrete Applied Mathematics 2014 / 02 Vol. 164

Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

Pınar, Mustafa Ç.
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Volume:
164
Language:
english
Journal:
Discrete Applied Mathematics
DOI:
10.1016/j.dam.2011.10.010
Date:
February, 2014
File:
PDF, 271 KB
english, 2014
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