Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach
| Year of publication: |
2008
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|---|---|
| Authors: | Fleten, Stein-Erik ; Lindset, Snorre |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 185.2008, 3, p. 1680
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