Partial hedging and cash requirements in discrete time
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Date
2016Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
Quantitative FinanceVolume
Pages / Article No.
Publisher
RoutledgeSubject
Quantile hedging; Stochastic optimal control; Dynamic programming; Utility indifference pricing; Expected shortfallNotes
Published online by Taylor & Francis. Published online 10 November 2015.More
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ETH Bibliography
yes
Altmetrics