Stein-Erik Fleten, Snorre Lindset. Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach. European Journal of Operational Research, 185(3):1680-1689, 2008. [doi]
@article{FletenL08,
title = {Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach},
author = {Stein-Erik Fleten and Snorre Lindset},
year = {2008},
doi = {10.1016/j.ejor.2006.08.013},
url = {http://dx.doi.org/10.1016/j.ejor.2006.08.013},
tags = {programming, systematic-approach},
researchr = {https://researchr.org/publication/FletenL08},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {185},
number = {3},
pages = {1680-1689},
}