3 search results - page 1 / 1 » Discrete-time, minimum-variance hedging of European continge... |
CDC
2009
IEEE
13 years 2 months ago
2009
IEEE
EOR
2010
12 years 11 months ago
2010
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a sufficiently attractive expected gai...
JCP
2008
13 years 4 months ago
2008
In the present paper, by applying the theory of stochastic processes and interacting particle systems and models, including stopping time theory and stochastic voter model, we mode...