Author:
Matsumoto Koichi,Shimizu Keita
Funder
Japan Society for the Promotion of Science
Publisher
Springer Science and Business Media LLC
Reference12 articles.
1. Avellaneda, M., Levy, A., & Paras, A. (1995). Pricing and hedging derivative securities in markets with uncertain volatilities. Applied Mathematical Finance, 2, 73–88.
2. Bertsimas, D., Kogan, L., & Lo, A. W. (2001). Hedging derivative securities and incomplete markets: An $$\epsilon $$ arbitrage approach. Operations Research, 49, 372–397.
3. Černý, A. (2004). Dynamic programming and mean-variance hedging in discrete time. Applied Mathematical Finance, 11, 1–25.
4. Gugushvili, S. (2003). Dynamic programming and mean-variance hedging in discrete time. Georgian Mathematical Journal, 2, 237–246.
5. Lyons, T. J. (1995). Uncertain volatility and the risk free synthesis of derivatives. Applied Mathematical Finance, 2, 117–133.