Pricing and hedging options in incomplete markets

Joseph Andria and Manfred Gilli ()

No 163, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Incomplete markets; option pricing; dynamic programming; CVaR (search for similar items in EconPapers)
JEL-codes: C61 D52 D81 (search for similar items in EconPapers)
Date: 2002-07-01
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:163

Access Statistics for this paper

More papers in Computing in Economics and Finance 2002 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().