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Applied Mathematical Finance Volume 16, 2009 - Issue 3
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Mean-Variance Hedging with Uncertain Trade Execution

Koichi Matsumoto Department of Economic Engineering, Faculty of Economics, Kyushu University, Fukuoka, 812-8581, JapanCorrespondence[email protected]
Pages 219-252 | Received 31 Jan 2008, Published online: 29 Jun 2009

Citations (6)

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Read on this site (1)

Koichi Matsumoto. (2013) Option Replication in Discrete Time with Illiquidity. Applied Mathematical Finance 20:2, pages 167-190.
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Articles from other publishers (5)

Koichi Matsumoto & Keita Shimizu. (2019) Hedging Derivatives on Two Assets with Model Risk. Asia-Pacific Financial Markets 27:1, pages 83-95.
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Koichi Matsumoto. (2017) Mean–variance hedging with model risk. International Journal of Financial Engineering 04:04, pages 1750042.
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Rossella Agliardi & Ramazan Gençay. (2014) Hedging Through a Limit Order Book with Varying Liquidity. The Journal of Derivatives 22:2, pages 32-49.
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Rossella Agliardi & Ramazan Gençay. (2014) Hedging Through a Limit Order Book with Varying Liquidity. The Journal of Derivatives, pages 141117015111003.
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Rossella Agliardi & Ramazan Gencay. (2012) Hedging Through a Limit Order Book with Varying Liquidity. SSRN Electronic Journal.
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