Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives
Year of publication: |
2010
|
---|---|
Authors: | Becherer, Dirk ; Ward, Ian |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 17.2010, 1, p. 1-28
|
Publisher: |
Taylor & Francis Journals |
Subject: | Static hedging | minimum variance hedging | displaced diffusion | stochastic volatility | calibration | convertible bond |
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