Mean-Variance Hedging When There Are Jumps (Q3427516)

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Mean-Variance Hedging When There Are Jumps
scientific article

    Statements

    title
    Mean-Variance Hedging When There Are Jumps (English)
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    author
    Andrew E. B. Lim
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    publication date
    20 March 2007
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    zbMATH Keywords
    jump diffusion
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    stochastic intensity
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    doubly stochastic Poisson process
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    mean-variance hedging
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    incomplete markets
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    backward stochastic differential equations
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    default risk
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    Identifiers

    DOI
    10.1137/040610933
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    Mathematics Subject Classification ID
    60H30
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    91B28
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    93E20
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    60J75
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    35R60
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    60H10
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    zbMATH DE Number
    5134947
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