Performance of utility-based strategies for hedging basis risk (Q4610231): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2109544141
@@ Property / OpenAlex ID: W2109544141 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q2722587
@@ Property / cites work: Q2722587 / 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 @@
+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and stochastic integrals in the theory of continuous trading
+Normal rank
@@ Property / cites work @@
+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
+Normal rank
@@ Property / cites work @@
+Real options with constant relative risk aversion
@@ Property / cites work: Real options with constant relative risk aversion / rank @@
+Normal rank
@@ Property / cites work @@
+PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Option pricing with transaction costs using a Markov chain approximation
+Normal rank
@@ Property / cites work @@
+Optimal investment in incomplete markets when wealth may become negative.
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank
@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4610231