MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
Year of publication: |
2005
|
---|---|
Authors: | HOBSON, DAVID ; PENN, JEREMY |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 08.2005, 06, p. 763-789
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Hedging strategies | stochastic control | Brownian motion | policy improvement | timely information |
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