A robust hedging algorithm

Authors: Howe M.A.; Rustem B.¹

Source: Journal of Economic Dynamics and Control, Volume 21, Number 6, 1 June 1997 , pp. 1065-1092(28)

Publisher: Elsevier

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Keywords: Finance; Minimax; Hedging; Transaction costs; Nonsmooth optimization; [JEL classification codes] C61; [JEL classification codes] G11

Language: English

Document Type: Research article

DOI: 10.1016/S0165-1889(97)00017-1

Affiliations: 1: Department of Computing, Imperial College of Science, Technology and Medicine, 180 Queen's Gate, London, SW7 2BZ, UK

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