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"Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Amp[e-grave]re PDE."

Srdjan Stojanovic (2004)

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DOI: 10.1137/S0363012903421170

access: closed

type: Journal Article

metadata version: 2020-07-09

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Srdjan Stojanovic:
Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Amp[e-grave]re PDE. SIAM J. Control. Optim. 43(4): 1151-1173 (2004)

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