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20122015
most citedOn the extension complexity of combinatorial polytopes

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q-fin.PR2012

Optimal hedging in discrete time

Bruno Rémillard, Sylvain Rubenthaler

Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In pa…