Mean-variance hedging on uncertain time horizon in a market with a jump (Q2441393): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 08:11, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance hedging on uncertain time horizon in a market with a jump |
scientific article |
Statements
Mean-variance hedging on uncertain time horizon in a market with a jump (English)
0 references
24 March 2014
0 references
mean-variance hedging
0 references
backward stochastic differential equation (BSDE)
0 references
random horizon
0 references
jump processes
0 references
progressive enlargement of filtration
0 references
decomposition in the reference filtration
0 references
