Explicit formulas for the minimal variance hedging strategy in a martingale case

Flavio Angelini and Stefano Herzel

Decisions in Economics and Finance, 2010, vol. 33, issue 1, 63-79

Keywords: Incomplete markets; Hedging; Contingent claim; Variance-optimal hedging (search for similar items in EconPapers)
Date: 2010
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Working Paper: Explicit formulas for the minimal variance hedging strategy in a martingale case (2007)
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DOI: 10.1007/s10203-009-0097-4

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