Numerical comparison of local risk-minimisation and mean-variance hedging

Authors
Heath, D Platen, E Schweizer, M
Citation
D. Heath et al., Numerical comparison of local risk-minimisation and mean-variance hedging, HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT, 2001, pp. 509-537
Categorie Soggetti
Current Book Contents
Journal title
HANDBOOKS IN MATHEMATICAL FINANCE: OPTION PRICING, INTEREST RATES AND RISKMANAGEMENT → ACNP
Year of publication
2001
Pages
509 - 537
Database
ISI
SICI code