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Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

Pinar, Mustafa C.; Salih, Aslihan; Camci, Ahmet


BibTeX

@article{pinar_mustafa_c_2010_25931,
  author       = {Pinar, Mustafa C. and
                  Salih, Aslihan and
                  Camci, Ahmet},
  title        = {{Expected gain-loss pricing and hedging of 
                   contingent claims in incomplete markets by linear
                   programming}},
  journal      = {EUROPEAN JOURNAL OF OPERATIONAL RESEARCH},
  year         = 2010,
  volume       = 201,
  number       = 3,
  pages        = {770-785},
  month        = jan,
}
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