Robust mean-variance hedging in the single period model
AbstractWe give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0908.0840.
Date of creation: Aug 2009
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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