Martingale-based hedge error

P.L.M. Bossaerts, B.J.M. Werker

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

Original languageEnglish
Title of host publicationNumerical Methods in Finance
EditorsL.C.G. Rogers, D. Talay
Place of PublicationCambridge
PublisherCambridge University Press
Pages290-304
Number of pages15
Publication statusPublished - 1997

Cite this

Bossaerts, P. L. M., & Werker, B. J. M. (1997). Martingale-based hedge error. In L. C. G. Rogers, & D. Talay (Eds.), Numerical Methods in Finance (pp. 290-304). Cambridge: Cambridge University Press.
Bossaerts, P.L.M. ; Werker, B.J.M. / Martingale-based hedge error. Numerical Methods in Finance. editor / L.C.G. Rogers ; D. Talay. Cambridge : Cambridge University Press, 1997. pp. 290-304
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Bossaerts, PLM & Werker, BJM 1997, Martingale-based hedge error. in LCG Rogers & D Talay (eds), Numerical Methods in Finance. Cambridge University Press, Cambridge, pp. 290-304.

Martingale-based hedge error. / Bossaerts, P.L.M.; Werker, B.J.M.

Numerical Methods in Finance. ed. / L.C.G. Rogers; D. Talay. Cambridge : Cambridge University Press, 1997. p. 290-304.

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

TY - CHAP

T1 - Martingale-based hedge error

AU - Bossaerts, P.L.M.

AU - Werker, B.J.M.

N1 - Pagination: 15

PY - 1997

Y1 - 1997

M3 - Chapter

SP - 290

EP - 304

BT - Numerical Methods in Finance

A2 - Rogers, L.C.G.

A2 - Talay, D.

PB - Cambridge University Press

CY - Cambridge

ER -

Bossaerts PLM, Werker BJM. Martingale-based hedge error. In Rogers LCG, Talay D, editors, Numerical Methods in Finance. Cambridge: Cambridge University Press. 1997. p. 290-304