Variance optimal hedging with application to electricity markets
Year of publication: |
2019
|
---|---|
Authors: | Warin, Xavier |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 3, p. 33-59
|
Subject: | Monte Carlo methods | mean-variance hedging | energy | finance | algorithm | least squares | incomplete markets | Hedging | Unvollkommener Markt | Incomplete market | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Elektrizitätswirtschaft | Electric power industry | Derivat | Derivative | Energiemarkt | Energy market |
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