Dynamic optimal hedge ratio design when price and production are stochastic with jump (Q2675247): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10436-022-00410-1 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3003017534 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Portfolio choice with jumps: a closed-form solution / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q5821521 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION / rank | |||
Normal rank | |||
Latest revision as of 04:54, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic optimal hedge ratio design when price and production are stochastic with jump |
scientific article |
Statements
Dynamic optimal hedge ratio design when price and production are stochastic with jump (English)
0 references
21 September 2022
0 references
jump-diffusion process
0 references
futures
0 references
stochastic dynamic programming
0 references
Lévy measure
0 references
risk management
0 references
