Dynamic optimal hedge ratio design when price and production are stochastic with jump (Q2675247): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Portfolio choice with jumps: a closed-form solution / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q5821521 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION / rank | |||
Normal rank |
Latest revision as of 04:54, 30 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Dynamic optimal hedge ratio design when price and production are stochastic with jump |
scientific article |
Statements
Dynamic optimal hedge ratio design when price and production are stochastic with jump (English)
0 references
21 September 2022
0 references
jump-diffusion process
0 references
futures
0 references
stochastic dynamic programming
0 references
Lévy measure
0 references
risk management
0 references