Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9965.00010/fullpdf
Reference10 articles.
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3. N. El Karoui, S. Peng, and M. C. Quenez (1997 ): Backward Stochastic Differential Equations in Finance ,Math. Finance7 , 1 -72 .
4. E. Fournie, J.M. Lasry, J. Lebuchoux, and P.L. Lions (2001 ): Applications of Malliavin Calculus to Monte Carlo Methods in Finance II ,Finance Stoch. 5 , 201 -236 .
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