Properties of Optimal Smooth Functions in Additive Models for Hedging Multivariate Derivatives

Yuji Yamada ()

Asia-Pacific Financial Markets, 2012, vol. 19, issue 2, 149-179

Keywords: Additive models; Minimum variance hedging; Basket options; Multivariate derivatives; Smooth functions (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10690-011-9145-5

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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