The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (Q2258827)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims |
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The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims (English)
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27 February 2015
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backward stochastic differential equations
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defaultable claim
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mean-variance hedging
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stochastic control problem
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dynamic programming principle
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variance optimal martingale measure
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