ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS (Q5357516)
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scientific article; zbMATH DE number 6773515
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS |
scientific article; zbMATH DE number 6773515 |
Statements
ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS (English)
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8 September 2017
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mean-variance hedging
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partial information
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observable and unobservable contingent claims
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Clark-Ocone representation
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semi-martingale approach
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stochastic derivative
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geometric Brownian motion
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