most citedAn Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market

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math.ST2006★ 1 cited

An Algorithmic Approach to Non-self-financing Hedging in a Discrete-Time Incomplete Market

N. Josephy, L. Kimball, A. Nagaev +2

We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two…