Optimal hedging strategies for multi-period guarantees in...

Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Stein-Erik Fleten, Snorre Lindset
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Volume:
185
Year:
2008
Language:
english
Pages:
10
DOI:
10.1016/j.ejor.2006.08.013
File:
PDF, 318 KB
english, 2008
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