Robust one-period option hedging

F. Lutgens, J.F. Sturm, A. Kolen

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)1051-1062
JournalOperations Research
Volume54
Issue number6
Publication statusPublished - 2006

Cite this

Lutgens, F., Sturm, J. F., & Kolen, A. (2006). Robust one-period option hedging. Operations Research, 54(6), 1051-1062.
Lutgens, F. ; Sturm, J.F. ; Kolen, A. / Robust one-period option hedging. In: Operations Research. 2006 ; Vol. 54, No. 6. pp. 1051-1062.
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author = "F. Lutgens and J.F. Sturm and A. Kolen",
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language = "English",
volume = "54",
pages = "1051--1062",
journal = "Operations Research",
issn = "0030-364X",
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Lutgens, F, Sturm, JF & Kolen, A 2006, 'Robust one-period option hedging', Operations Research, vol. 54, no. 6, pp. 1051-1062.

Robust one-period option hedging. / Lutgens, F.; Sturm, J.F.; Kolen, A.

In: Operations Research, Vol. 54, No. 6, 2006, p. 1051-1062.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Robust one-period option hedging

AU - Lutgens, F.

AU - Sturm, J.F.

AU - Kolen, A.

N1 - DP 2002-114

PY - 2006

Y1 - 2006

M3 - Article

VL - 54

SP - 1051

EP - 1062

JO - Operations Research

JF - Operations Research

SN - 0030-364X

IS - 6

ER -

Lutgens F, Sturm JF, Kolen A. Robust one-period option hedging. Operations Research. 2006;54(6):1051-1062.