CVaR hedging using quantization based stochastic approximation algorithm

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https://hal.archives-ouvertes.fr/hal-01263766
Contributor : Serena Benassù <>
Submitted on : Thursday, January 28, 2016 - 11:13:09 AM
Last modification on : Friday, January 4, 2019 - 5:32:34 PM

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O. Bardou, N. Frikha, G. Pagès. CVaR hedging using quantization based stochastic approximation algorithm. Mathematical Finance, Wiley, 2016, 26 (1), pp.184-229. ⟨10.1111/mafi.1204⟩. ⟨hal-01263766⟩

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