A robust hedging algorithm

Journal of Economic Dynamics and Control

Volumn 21, Issue 6, 1997, Pages 1065-1092

  Howe, M A ^b   Rustem, B ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b NONE

Author keywords

Finance; Hedging; Minimax; Nonsmooth optimization; Transaction costs

Indexed keywords

EID: 0031161238     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(97)00017-1     Document Type: Article

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