Showing 1 - 5 of 5
We develop a flexible discrete-time hedging methodology that minimizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10011097768
Persistent link: https://www.econbiz.de/10010378599
We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion allows for the sequential construction of an optimal...
Persistent link: https://www.econbiz.de/10013101888
Persistent link: https://www.econbiz.de/10014575525
Persistent link: https://www.econbiz.de/10015210300