Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims

Easwar Subramanian, VijaySekhar Chellaboina. Explicit solutions of discrete-time quadratic optimal hedging strategies for European contingent claims. In IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2014, London, UK, March 27-28, 2014. pages 449-456, IEEE, 2014. [doi]

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