Hedging using simulation: a least squares approach
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Other versions of this item:
- Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
References listed on IDEAS
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More about this item
Keywordsgreeks; Malliavin calculus; Monte Carlo methods;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-CMP-2003-10-20 (Computational Economics)
- NEP-FIN-2003-10-20 (Finance)
- NEP-RMG-2003-10-20 (Risk Management)
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