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Option pricing and hedging with minimum local expected shortfall 

Authors: Benoit Pochart a; Jean-Philippe Bouchaud bc
Affiliations:   a Centre de Mathegravematiques Appliquegravees, France
b Service de Physique de I'Etat Condensegrave, centre D'egravetudes de Saclay, Gif-sur-Yvette, France
c Science & Finance, Capital Fund Management, Paris, France
DOI: 10.1080/14697680400000042
Publication Frequency: 8 issues per year
Published in: journal Quantitative Finance, Volume 4, Issue 5 October 2004 , pages 607 - 618
Number of References: 37
Formats available: PDF (English)

References

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