Characterization of the value process in robust efficient hedging (Q2247915): Difference between revisions

@@ Property / author @@
-Daniel Hernández-Hernández
@@ Property / author: Daniel Hernández-Hernández / rank @@
-Normal rank
@@ Property / author @@
+Daniel Hernández-Hernández
@@ Property / author: Daniel Hernández-Hernández / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-012-0168-5
+Normal rank
@@ Property / OpenAlex ID @@
+W2130359522
@@ Property / OpenAlex ID: W2130359522 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient hedging: cost versus shortfall risk
@@ Property / cites work: Efficient hedging: cost versus shortfall risk / rank @@
+Normal rank
@@ Property / cites work @@
+EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4357503
@@ Property / cites work: Q4357503 / rank @@
+Normal rank
@@ Property / cites work @@
+A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Q4663402
@@ Property / cites work: Q4663402 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2247915