A risk reserve model for hedging in incomplete markets (Q975891): Difference between revisions

@@ Property / author @@
-Michel H. Vellekoop
@@ Property / author: Michel H. Vellekoop / rank @@
-Normal rank
@@ Property / author @@
+Michel H. Vellekoop
@@ Property / author: Michel H. Vellekoop / 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/10.1016/j.jedc.2010.02.005
+Normal rank
@@ Property / OpenAlex ID @@
+W2084700384
@@ Property / OpenAlex ID: W2084700384 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic programming and stochastic control
@@ Property / cites work: Dynamic programming and stochastic control / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic optimal control. The discrete time case
+Normal rank
@@ Property / cites work @@
+Quantile hedging
@@ Property / cites work: Quantile hedging / 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 @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Mean-variance hedging for general claims
@@ Property / cites work: Mean-variance hedging for general claims / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation pricing and the variance-optimal martingale measure
+Normal rank
@@ Property / cites work @@
+PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
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@@ links / mardi / name / links / mardi / name @@
+Publication:975891