Three essays on pricing and hedging in incomplete markets
The thesis focuses on valuation and hedging problems when the market is incomplete. The Örst essay considers the quadratic hedging strategy. We propose a generalized quadratic hedging strategy which can balance a short-term risk (additional cost) with a long-term risk (hedging errors). The tradition...
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London School of Economics and Political Science (University of London)
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.543151 |