Hedging Derivative Securities and Incomplete Markets: An Formula-Arbitrage Approach.
Dimitris BertsimasLeonid KoganAndrew W. LoPublished in: Oper. Res. (2001)
Keyphrases
- financial markets
- black scholes
- stock price
- stock market
- portfolio selection
- risk management
- trading strategies
- convertible bonds
- missing data
- incomplete data
- noisy data
- uncertain information
- missing values
- decision support system
- portfolio management
- long term
- data sets
- exchange rate
- news articles
- gaussian function
- multi agent