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A gradual nonconvexification method for minimizing value-at-risk
Xi, Jiong; Coleman, Thomas F.; Li, Yuying; Tayal, Aditya - In: Journal of risk 16 (2013/2014) 3, pp. 23-47
Persistent link: https://www.econbiz.de/10013262924
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Risk-minimization hedging under nonoptimal exercising
Levchenkov, Dmitriy; Coleman, Thomas F.; Li, Yuying - In: Journal of risk 13 (2010/11) 4, pp. 63-93
Persistent link: https://www.econbiz.de/10009233505