Mean-variance hedging for continuous processes: New proofs and examples (Q1381310): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2088091526 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Revision as of 23:43, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance hedging for continuous processes: New proofs and examples |
scientific article |
Statements
Mean-variance hedging for continuous processes: New proofs and examples (English)
0 references
7 September 1998
0 references
mean-variance hedging
0 references
stochastic integrals
0 references
minimal martingale measure
0 references
Föllmer-Schweizer decomposition
0 references
variance-optimal martingale measure
0 references
