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Option pricing theory
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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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Efficient option valuation using trees
Heath, David C.
;
Herzel, Stefano
- In:
Applied mathematical finance
9
(
2002
)
3
,
pp. 163-178
Persistent link: https://www.econbiz.de/10001718678
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3
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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4
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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