Approximation pricing and the variance-optimal martingale measure (Q1922074)
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scientific article; zbMATH DE number 926210
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| English | Approximation pricing and the variance-optimal martingale measure |
scientific article; zbMATH DE number 926210 |
Statements
Approximation pricing and the variance-optimal martingale measure (English)
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5 January 1997
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option pricing
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variance-optimal martingale measure
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backward stochastic differential equations
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incomplete markets
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adjustment process
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mean-variance trade-off
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minimal signed martingale measure
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0.8850340247154236
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0.8277378082275391
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0.8277378082275391
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0.8150855302810669
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0.8146474361419678
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