Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives
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Volume (Year): 19 (2012)
Issue (Month): 2 (May)
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References listed on IDEAS
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- Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994.
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- Stutzer, Michael, 1996. " A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, vol. 51(5), pages 1633-1652, December.
- Toby Daglish, 2003. "A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 327-364.
- Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc.
- 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 637-654, May-June.
- P. Carr & D. Madan, 2001. "Optimal positioning in derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 19-37.
- Yuji Yamada, 2008. "Optimal Hedging of Prediction Errors Using Prediction Errors," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 67-95, March. Full references (including those not matched with items on IDEAS)
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