Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
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References listed on IDEAS
- David Hobson & Peter Laurence & Tai-Ho Wang, 2005. "Static-arbitrage upper bounds for the prices of basket options," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 329-342.
- Nelsen, Roger B. & Molina, José Juan Quesada & Lallena, José Antonio Rodríguez & Flores, Manuel Úbeda, 2004. "Best-possible bounds on sets of bivariate distribution functions," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 348-358, August.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-02 (All new papers)
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