The pricing of liabilities in an incomplete market using dynamic mean-variance hedging (Q882871): Difference between revisions
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Property / cites work: Residual risks and hedging strategies in Markovian markets / rank | |||
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Property / cites work: Mean-variance hedging in continuous time / rank | |||
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Property / cites work: Q4806224 / rank | |||
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Property / cites work: On Quadratic Cost Criteria for Option Hedging / rank | |||
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Property / cites work: Mean-variance hedging for general claims / rank | |||
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Property / cites work: Variance-Optimal Hedging in Discrete Time / rank | |||
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Property / cites work: A Multiperiod Equilibrium Asset Pricing Model / rank | |||
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Latest revision as of 19:59, 25 June 2024
scientific article
Language | Label | Description | Also known as |
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English | The pricing of liabilities in an incomplete market using dynamic mean-variance hedging |
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The pricing of liabilities in an incomplete market using dynamic mean-variance hedging (English)
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24 May 2007
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Market value of liabilities
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Equilibrium market models
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Incomplete markets
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