Entropic Conditions and Hedging

DOI10.1051/PS:2007015MaRDI QIDQ5429599zbMATH OpenOpenAlexFDO

Authors Samuel Njoh

Publication date 30 November 2007

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=PS_2007__11__197_0, https://eudml.org/doc/244867

zbMATH Keywords

martingale representation theoremstochastic optimization

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic programming (90C15) Auctions, bargaining, bidding and selling, and other market models (91B26) Optimal stochastic control (93E20)

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Cites work

• ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Exponential Hedging and Entropic Penalties
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• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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• VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION

Cited in

(2)

• Hedging with residual risk: a BSDE approach
• CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL

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