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"Optimal Hedging of a Perpetual American Put with a Single Trade."

Cheng Cai, Tiziano De Angelis, Jan Palczewski (2021)

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DOI: 10.1137/20M1325265

access: closed

type: Journal Article

metadata version: 2021-07-25

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Cheng Cai, Tiziano De Angelis, Jan Palczewski:
Optimal Hedging of a Perpetual American Put with a Single Trade. SIAM J. Financial Math. 12(2): 823-866 (2021)

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