Volume 3, Issue 3 | Finance and Stochastics

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Volume 3, Issue 3

May 1999

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5 articles in this issue

Quantile hedging
Hans Föllmer
Peter Leukert
Pages: 251 - 273
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
Sid Browne
Pages: 275 - 294
Exercise regions of American options on several assets
Stephane Villeneuve
Pages: 295 - 322
Convergence of strategies: An approach using Clark-Haussmann's formula
Jan Pedersen
Pages: 323 - 344
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
George M. Constantinides
Thaleia Zariphopoulou
Pages: 345 - 369