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Discrete time hedging errors for options with irregular payoffs

✍ Scribed by Emmanuel Gobet; Emmanuel Temam

Book ID
105749311
Publisher
Springer-Verlag
Year
2001
Tongue
English
Weight
101 KB
Volume
5
Category
Article
ISSN
0949-2984

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An optimal linear digital filtering problem for continuous-time dynamic processes is considered. An algorithm for optimal filter design taking into account pure delays in continuous-time networks is presented. The performance of systems, being optimal with respect to discrete-time and continuous-tim