Maximizing the probability of a perfect hedge

Annals of Applied Probability

Volumn 9, Issue 4, 1999, Pages 1303-1328

  Spivak, Gennady ^a   Cvitanić, Jakša ^b  

^a Goldman Sachs Group   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Hedging; Large investor; Margin requirements; Partial information

Indexed keywords

EID: 0033262773     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1029962873     Document Type: Article

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