Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
Crossref DOI link: https://doi.org/10.1007/s00780-020-00428-1
Published Online: 2020-06-12
Published Print: 2020-07
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Gobet, Emmanuel
Pimentel, Isaque
Warin, Xavier
Text and Data Mining valid from 2020-06-12
Version of Record valid from 2020-06-12
Article History
Received: 8 April 2018
Accepted: 6 March 2020
First Online: 12 June 2020