Discrete hedging of American-type options using local risk minimization
| Year of publication: |
2007
|
|---|---|
| Authors: | Coleman, Thomas F. ; Levchenkov, Dmitriy ; Li, Yuying |
| Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 31.2007, 11, p. 3398-3419
|
| Publisher: |
Elsevier |