François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European Journal of Operational Research 237 (2014) 1, pp. 312-322
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...