Hedging problem with stochastic volatility

DOI10.13338/J.ISSN.1006-8341.2017.01.010MaRDI QIDQ5367729zbMATH OpenFDO

Authors Lin Zhang, Xuanhui Liu, Hui Chen

Publication date 20 October 2017

Full work available at URL https://doi.org/10.13338/J.ISSN.1006-8341.2017.01.010

zbMATH Keywords

hedgingjump-diffusion processstochastic differential gameHJBI equation

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15)

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Cited in

(3)

• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
• Stochastic LQ control framework for the hedging problem as the stock price follows jump-diffusion process
• scientific article; zbMATH DE number 797367 (Why is no real title available?)

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