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Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
Pınar, Mustafa Ç.; Altay-Salih, Aslihan; Camcı, Ahmet - In: European journal of operational research : EJOR 201 (2010) 3, pp. 770-785
Persistent link: https://www.econbiz.de/10003959847
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A simple model for option pricing with jumping stochastic volatility
Herzel, Stefano - In: International journal of theoretical and applied finance 1 (1998) 4, pp. 487-505
Persistent link: https://www.econbiz.de/10001255558
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Pricing multiple exercise American options by linear programming
Giandomenico, Monia; Pınar, Mustafa Ç. - In: Optimal financial decision making under uncertainty, (pp. 137-150). 2017
Persistent link: https://www.econbiz.de/10011558445
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Explicit formulas for the minimal variance hedging strategy in a martingale case
Angelini, Flavio; Herzel, Stefano - In: Decisions in Economics and Finance 33 (2010) 1, pp. 63-79
Persistent link: https://www.econbiz.de/10008552396
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A reinforcement learning algorithm for option hedging
Giorgi, Federico; Herzel, Stefano; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015326213
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Explicit formulas for the minimal variance hedging strategy in a martingale case
Angelini, Flavio; Herzel, Stefano - In: Decisions in economics and finance : DEF ; a journal of … 33 (2010) 1, pp. 63-79
Persistent link: https://www.econbiz.de/10003967624
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Measuring the error of dynamic hedging : a Laplace transform approach
Angelini, Flavio; Herzel, Stefano - In: The journal of computational finance 13 (2009/10) 2, pp. 47-72
Persistent link: https://www.econbiz.de/10003949894