Mean-variance hedging for continuous processes: New proofs and examples (Q1381310): Difference between revisions
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Revision as of 04:08, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance hedging for continuous processes: New proofs and examples |
scientific article |
Statements
Mean-variance hedging for continuous processes: New proofs and examples (English)
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7 September 1998
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mean-variance hedging
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stochastic integrals
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minimal martingale measure
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Föllmer-Schweizer decomposition
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variance-optimal martingale measure
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