Superreplication of financial derivatives via convex programming
Nabil Kahalé
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Kahalé, Nabil |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 63.2017, 7, p. 2323-2339
|
| Subject: | model risk | robust replication | robust hedging | convex programming | financial derivatives | Derivat | Derivative | Hedging | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Robustes Verfahren | Robust statistics | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2017.2786 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011729383