Pricing and hedging options in incomplete markets
| Year of publication: |
2002-07-01
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|---|---|
| Authors: | Andria, Joseph ; Gilli, Manfred |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Incomplete markets | option pricing | dynamic programming | CVaR |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 163 |
| Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D52 - Incomplete Markets ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
| Source: |
Persistent link: https://www.econbiz.de/10005345484