Dynamic programming and mean-variance hedging in discrete time

Applied Mathematical Finance

Volumn 11, Issue 1, 2004, Pages 1-25

  Černý, Aleš ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Arbitrage; Discrete time; Dynamic programming; Incomplete market; Mean variance hedging

Indexed keywords

EID: 1842763703     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000196164     Document Type: Article

References (19)

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