Title of article
Discrete hedging of American-type options using local risk minimization
Author/Authors
Thomas F. Coleman، نويسنده , , Dmitriy Levchenkov، نويسنده , , Yuying Li، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
22
From page
3398
To page
3419
Keywords
American option , Local risk minimization , Piecewise linear risk , Binomialtree , Black–Scholes model , Discrete hedging , VAR
Journal title
Journal of Banking and Finance
Serial Year
2007
Journal title
Journal of Banking and Finance
Record number
194133
Link To Document