OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (Q5422628): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3124955375
@@ Property / OpenAlex ID: W3124955375 / rank @@
+Normal rank
@@ Property / cites work @@
+An extension of mean-variance hedging to the discontinuous case
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging for Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
+Normal rank
@@ Property / cites work @@
+Classical Fourier transforms
@@ Property / cites work: Classical Fourier transforms / rank @@
+Normal rank
@@ Property / cites work @@
+\(\mathcal E\)-martingales and their applications in mathematical finance
+Normal rank
@@ Property / cites work @@
+DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Q4802629
@@ Property / cites work: Q4802629 / rank @@
+Normal rank
@@ Property / cites work @@
+The minimal entropy martingale measures for geometric Lévy processes
+Normal rank
@@ Property / cites work @@
+A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
+Normal rank
@@ Property / cites work @@
+STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE
+Normal rank
@@ Property / cites work @@
+Option Pricing Under Incompleteness and Stochastic Volatility
+Normal rank
@@ Property / cites work @@
+Option Pricing With V. G. Martingale Components<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Option hedging for semimartingales
@@ Property / cites work: Option hedging for semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
+Normal rank