Saeed Marzban
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Cahiers du GERAD
déc. 2021
Motivated by the application of equal-risk pricing and hedging of a financial derivative, where two operationally meaningful hedging portfolio policies needs...
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déc. 2021
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be...
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sept. 2020
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the con...
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jan. 2022
Saeed Marzban, Erick Delage et Jonathan Y. Li
Quantitative Finance, 22(1), 47–73, 2022
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