Cutting the hedge

Computational Economics

Volumn 29, Issue 2, 2007, Pages 151-158

  Barone Adesi, Giovanni ^a   Elliott, Robert J ^b  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF CALGARY   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33947724608     PISSN: 09277099     EISSN: 15729974     Source Type: Journal    
DOI: 10.1007/s10614-006-9069-8     Document Type: Article

References (2)

1. Barone-Adesi G., Engle R., Mancini L. (2004). GARCH options in incomplete markets. Manuscript, Lugano
2. Elliott, R. J., & Kopp, P. E. (1999). Mathematics of financial markets. Springer-Verlag, (Second edition 2004).