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Pricing derivative securities in incomplete markets: an e-arbitrage approach

Co-author(s): L. Kogan and A. Lo; 
Publication Info: Operations Research; 
PDF Link: https://dbertsim.mit.edu/pdfs/papers/HedgingDerivativeSecuritiesIncompleteMarkets2001.pdf; 
Keywords: finance, derivatives, pricing, and hedging. Dynamic programming/optimal control: stochastic optimization of hedging errors