"Approximation of CVaR minimization for hedging under ..."

Madalina Deaconu, Antoine Lejay, Khaled Salhi (2017)

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DOI: 10.1016/J.CAM.2017.05.005

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type: Journal Article

metadata version: 2023-08-28

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Madalina Deaconu, Antoine Lejay, Khaled Salhi:
Approximation of CVaR minimization for hedging under exponential-Lévy models. J. Comput. Appl. Math. 326: 171-182 (2017)

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