The Mean-Variance Hedging of a Defaultable Option with Partial Information (Q3592751): Difference between revisions
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Revision as of 12:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Mean-Variance Hedging of a Defaultable Option with Partial Information |
scientific article |
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The Mean-Variance Hedging of a Defaultable Option with Partial Information (English)
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21 September 2007
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backward stochastic differential equations
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defaultable risk
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mean-variance hedging
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stochastic Riccati equation
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variance-optimal martingale measure
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