A robust hedging algorithm
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 21 (1997)
Issue (Month): 6 (June)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hayne E. Leland., 1984.
"Option Pricing and Replication with Transactions Costs,"
Research Program in Finance Working Papers
144, University of California at Berkeley.
- Leland, Hayne E, 1985. " Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
- Howe, M. A. & Rustem, B. & Selby, M. J. P., 1996. "Multi-period minimax hedging strategies," European Journal of Operational Research, Elsevier, vol. 93(1), pages 185-204, August.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Howe, M A & Rustem, B & Selby, M J P, 1994. "Minimax Hedging Strategy," Computational Economics, Society for Computational Economics, vol. 7(4), pages 245-75.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
- Rustem, Berc & Becker, Robin G. & Marty, Wolfgang, 2000. "Robust min-max portfolio strategies for rival forecast and risk scenarios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1591-1621, October.
- Esteban-Bravo, Mercedes & Vidal-Sanz, Jose M., 2007. "Worst-case estimation for econometric models with unobservable components," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3330-3354, April.
- Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999. "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper 1999-05, Tilburg University, Center for Economic Research.
- Gulpinar, Nalan & Rustem, Berc, 2007. "Robust optimal decisions with imprecise forecasts," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3595-3611, April.
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