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Numerical methods for the quadratic hedging problem in Markov models with jumps

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https://hal.archives-ouvertes.fr/hal-01269715
Contributor : Serena Benassù <>
Submitted on : Friday, February 5, 2016 - 11:07:27 AM
Last modification on : Friday, March 27, 2020 - 4:00:17 AM

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  • HAL Id : hal-01269715, version 1

Citation

C. de Franco, P. Tankov, X. Warin. Numerical methods for the quadratic hedging problem in Markov models with jumps. The Journal of Computational Finance, Incisive Media, 2015, 19 (2), pp.1-39. ⟨hal-01269715⟩

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