A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this ...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a ...
Abstract: We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error ...
Aug 17, 2012 · A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments ...
Downloadable! We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error ...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a ...
TL;DR: In this article, a flexible discrete-time hedging methodology is developed to minimize the expected value of any desired penalty function of the hedging ...
Optimal hedging when the underlying asset follows a regime-switching Markov process ; European journal of operational research : EJOR. - Amsterdam : Elsevier, ...
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a ...
A numerical algorithm based on backward recursion allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this ...