Variance optimal hedging for continuous time additive processes and applications (Q2875261): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2074269207
@@ Property / OpenAlex ID: W2074269207 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1965
@@ Property / arXiv ID: 1302.1965 / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring the error of dynamic hedging: a Laplace transform approach
+Normal rank
@@ Property / cites work @@
+Some properties of the variance-optimal martingale measure for discontinuous semimartingales
+Normal rank
@@ Property / cites work @@
+An extension of mean-variance hedging to the discontinuous case
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
+Normal rank
@@ Property / cites work @@
+Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
+Normal rank
@@ Property / cites work @@
+THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
+Normal rank
@@ Property / cites work @@
+On the structure of general mean-variance hedging strategies
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the performance of delta hedging strategies in exponential Lévy models
+Normal rank
@@ Property / cites work @@
+Analysis of Fourier Transform Valuation Formulas and Applications
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Time-inhomogeneous affine processes
@@ Property / cites work: Time-inhomogeneous affine processes / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance-optimal hedging for processes with stationary independent increments
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q5635152
@@ Property / cites work: Q5635152 / rank @@
+Normal rank
@@ Property / cites work @@
+Föllmer-Schweizer decomposition and mean-variance hedging for general claims
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4486401
@@ Property / cites work: Q4486401 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4340161
@@ Property / cites work: Q4340161 / rank @@
+Normal rank
@@ Property / cites work @@
+On Quadratic Cost Criteria for Option Hedging
@@ Property / cites work: On Quadratic Cost Criteria for Option Hedging / rank @@
+Normal rank
@@ Property / cites work @@
+Approximating random variables by stochastic integrals
+Normal rank
@@ Property / cites work @@
+On the minimal martingale measure and the möllmer-schweizer decomposition
+Normal rank
@@ Property / cites work @@
+Variance-Optimal Hedging in Discrete Time
@@ Property / cites work: Variance-Optimal Hedging in Discrete Time / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation pricing and the variance-optimal martingale measure
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank