A moment computation algorithm for the error in discrete dynamic hedging
Year of publication: |
2006
|
---|---|
Authors: | Primbs, James A. ; Yamada, Yuji |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 30.2006, 2, p. 519-540
|
Publisher: |
Elsevier |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Yamada, Yuji, (2018)
-
Pairs trading under transaction costs using model predictive control
Primbs, James A., (2018)
-
Value-at-risk estimation for dynamic hedging
Yamada, Yuji, (2002)
- More ...