Optimal partial hedging in a discrete-time market as a knapsack problem
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DOI: 10.1007/s00186-010-0327-0
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References listed on IDEAS
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Cited by:
- Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(3), pages 221-243, June.
- Erdnç Akyildirim & Albert Altarovici, 2016. "Partial hedging and cash requirements in discrete time," Quantitative Finance, Taylor & Francis Journals, vol. 16(6), pages 929-945, June.
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Keywords
Efficient hedging; Quantile hedging; Knapsack problem; Greedy algorithm; Binomial model;All these keywords.
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