Characterization of the value process in robust efficient hedging (Q2247915): Difference between revisions

@@ Property / author @@
+Daniel Hernández-Hernández
@@ Property / author: Daniel Hernández-Hernández / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10957-012-0168-5
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@@ Property / OpenAlex ID @@
+W2130359522
@@ Property / OpenAlex ID: W2130359522 / 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 @@
+EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL-REPRESENTATION FORMULA
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+Quadratic BSDEs with convex generators and unbounded terminal conditions
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+Pricing Via Utility Maximization and Entropy
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@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+Q3154984
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+Q4357503
@@ Property / cites work: Q4357503 / rank @@
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+A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Continuous exponential martingales and BMO
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+Utility maximization in incomplete markets
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+Q4663402
@@ Property / cites work: Q4663402 / rank @@
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