Dynamic optimal hedge ratio design when price and production are stochastic with jump
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Publication:2675247
DOI10.1007/s10436-022-00410-1zbMath1496.91090OpenAlexW3003017534MaRDI QIDQ2675247
Gaston Clément Nyassoke Titi, Louis Aimé Fono, Jules Sadefo Kamdem
Publication date: 21 September 2022
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-022-00410-1
Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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