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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 Math matiques Appliques, France |
| b Service de Physique de I'Etat Condens, centre D'tudes de Saclay, Gif-sur-Yvette, France |
|
| c Science & Finance, Capital Fund Management, Paris, France |
DOI:
10.1080/14697680400000042
Publication Frequency:
8 issues per year
Number of References: 37
Formats available:
PDF
(English)
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