Discrete hedging under piecewise linear risk minimization
نویسندگان
چکیده
منابع مشابه
Discrete piecewise linear functions
The concept of permutograph is introduced and properties of integral functions on permutographs are established. The central result characterizes the class of integral functions that are representable as lattice polynomials. This result is used to establish lattice polynomial representations of piecewise linear functions on R and continuous selectors on linear orders.
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2003
ISSN: 1465-1211
DOI: 10.21314/jor.2003.079