Mean Square Optimal Hedging with Non-Uniform Rebalancing Intervals

• SATO Kenji

  Graduate School of Informatics, Kyoto University

• YAMADA Yuji

  Graduate School of Business Sciences, University of Tsukuba

• FUJIOKA Hisaya

  Graduate School of Informatics, Kyoto University

Journal

• JCMSI : SICE journal of control, measurement, and system integration (SICE JCMSI)

  JCMSI : SICE journal of control, measurement, and system integration (SICE JCMSI) 2 (1), 32-35, 2009-01-31

Keywords

• option hedging
• non-uniform control

Details

• CRID: 1571417126127957376
• NII Article ID: 10031152618
• NII Book ID: AA12293218
• ISSN: 18824889
• Text Lang: en
• Data Source:
  • CiNii Articles