Hedging with a correlated asset: Solution of a nonlinear pricing PDE (Q859866): Difference between revisions

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Revision as of 12:48, 25 June 2024

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Hedging with a correlated asset: Solution of a nonlinear pricing PDE
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    Hedging with a correlated asset: Solution of a nonlinear pricing PDE (English)
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    22 January 2007
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    hedging
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    contingent claim
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    basis risk
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    viscosity solution
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    monotone discretization
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