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HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LEVY MARKET

Yip, WY; Stephens, D; Olhede, S; (2010) HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LEVY MARKET. MATHEMATICAL FINANCE , 20 (4) pp. 617-646. 10.1111/j.1467-9965.2010.00414.x.

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Type: Article
Title: HEDGING STRATEGIES AND MINIMAL VARIANCE PORTFOLIOS FOR EUROPEAN AND EXOTIC OPTIONS IN A LEVY MARKET
DOI: 10.1111/j.1467-9965.2010.00414.x
Keywords: Social Sciences, Science & Technology, Physical Sciences, Business, Finance, Economics, Mathematics, Interdisciplinary Applications, Social Sciences, Mathematical Methods, Business & Economics, Mathematics, Mathematical Methods In Social Sciences, Levy process, hedging, exotic option, variance swap, power jump asset, moment swap, chaotic representation property, REPRESENTATION, DERIVATIVES
UCL classification: UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/53730
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