"Optimal hedging strategies for multi-period guarantees in the presence of ..."

Stein-Erik Fleten, Snorre Lindset (2008)

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DOI: 10.1016/J.EJOR.2006.08.013

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type: Journal Article

metadata version: 2020-10-26

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Stein-Erik Fleten, Snorre Lindset:
Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach. Eur. J. Oper. Res. 185(3): 1680-1689 (2008)

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