Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
| Year of publication: |
2008
|
|---|---|
| Authors: | Fleten, Stein-Erik ; Lindset, Snorre |
| Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 185.2008, 3, p. 1680-1689
|
| Publisher: |
Elsevier |