A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (Q2770981): Difference between revisions
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| Property / author: David C. Heath / rank | |||
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| Property / author: Martin Schweizer / rank | |||
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Latest revision as of 20:33, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets |
scientific article |
Statements
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets (English)
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16 March 2004
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incomplete financial markets
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stochastic models
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local risk-minimisation
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mean-variance hedging
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partial differential equations
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simulation
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