Cross hedging with stochastic correlation (Q1761431)

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Cross hedging with stochastic correlation
scientific article

    Statements

    title
    Cross hedging with stochastic correlation (English)
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    author
    Stefan Ankirchner
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    Gregor Heyne
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    publication date
    15 November 2012
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    zbMATH Keywords
    cross hedging
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    incomplete markets
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    correlation
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    local risk minimisation
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    BSDE
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H10
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    60H07
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    zbMATH DE Number
    6106797
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