A moment computation algorithm for the error in discrete dynamic hedging
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References listed on IDEAS
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Flavio Angelini & Stefano Herzel, 2010.
"Explicit formulas for the minimal variance hedging strategy in a martingale case,"
Decisions in Economics and Finance,
Springer;Associazione per la Matematica, vol. 33(1), pages 63-79, May.
- Flavio Angelini & Stefano Herzel, 2007. "Explicit formulas for the minimal variance hedging strategy in a martingale case," Quaderni del Dipartimento di Economia, Finanza e Statistica 35/2007, Università di Perugia, Dipartimento Economia.
- Antoine E. Zambelli, 2014. "Incorporating Views on Market Dynamics in Options Hedging," Papers 1411.3947, arXiv.org, revised Oct 2015.
- Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
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