Shortfall risk in long-term hedging with short-term futures contracts

Authors
Glasserman, P
Citation
P. Glasserman, Shortfall risk in long-term hedging with short-term futures contracts, HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT, 2001, pp. 477-508
Categorie Soggetti
Current Book Contents
Journal title
HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT → ACNP
Year of publication
2001
Pages
477 - 508
Database
ISI
SICI code