Dynamic optimal hedge ratio design when price and production are stochastic with jump (Q2675247): Difference between revisions
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Property / full work available at URL: https://doi.org/10.1007/s10436-022-00410-1 / rank | |||
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Property / OpenAlex ID: W3003017534 / rank | |||
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Property / cites work: Portfolio choice with jumps: a closed-form solution / rank | |||
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Property / cites work: Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth / rank | |||
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Property / cites work: Q5821521 / rank | |||
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Property / cites work: EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION / rank | |||
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Latest revision as of 04:54, 30 July 2024
scientific article
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English | Dynamic optimal hedge ratio design when price and production are stochastic with jump |
scientific article |
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Dynamic optimal hedge ratio design when price and production are stochastic with jump (English)
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21 September 2022
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jump-diffusion process
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futures
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stochastic dynamic programming
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Lévy measure
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risk management
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