Dynamic conic hedging for competitiveness
Dilip B. Madan; Martijn Pistorius; Wim Schoutens
| Year of publication: |
September 2016
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|---|---|
| Authors: | Madan, Dilip B. ; Pistorius, Martijn ; Schoutens, Wim |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 10.2016, 4, p. 405-439
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| Subject: | Static and semi static hedging | Nonlinear expectation | Variance gamma model | Distorted expectation | Hedging | Theorie | Theory | Erwartungsbildung | Expectation formation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-016-0164-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011555303