Mean-variance hedging on uncertain time horizon in a market with a jump (Q2441393): Difference between revisions
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Revision as of 20:40, 19 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)
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24 March 2014
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mean-variance hedging
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backward stochastic differential equation (BSDE)
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random horizon
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jump processes
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progressive enlargement of filtration
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decomposition in the reference filtration
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