Change of filtrations and mean–variance hedging (Q5433511): Difference between revisions
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Revision as of 20:57, 19 March 2024
scientific article; zbMATH DE number 5224350
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Change of filtrations and mean–variance hedging |
scientific article; zbMATH DE number 5224350 |
Statements
Change of filtrations and mean–variance hedging (English)
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9 January 2008
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change of filtration
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mean-variance hedging
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stochastic Riccati equation
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backward stochastic differential equations
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variance-optimal martingale measure
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