Variance-optimal hedging strategy for several options

XU Song1,2

1. School of Finance and Statistics, East China Normal University, Shanghai 200062, China; 2. Department of Mathematics and Computer Science, Huainan Normal University, Huainan Anhui 232001, China.

Received:2009-12-01 Revised:2010-04-01 Online:2010-09-25 Published:2010-09-25
Contact: XU Song

CLC Number:

XU Song;. Variance-optimal hedging strategy for several options[J]. Journal of East China Normal University(Natural Sc, 2010, 2010(5): 49-55.

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