Dynamic optimal hedge ratio design when price and production are stochastic with jump (Q2675247)
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scientific article; zbMATH DE number 7589220
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| English | Dynamic optimal hedge ratio design when price and production are stochastic with jump |
scientific article; zbMATH DE number 7589220 |
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Dynamic optimal hedge ratio design when price and production are stochastic with jump (English)
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21 September 2022
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jump-diffusion process
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futures
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stochastic dynamic programming
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Lévy measure
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risk management
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0.7856428027153015
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0.77701735496521
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0.7755523920059204
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0.7548090815544128
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0.747850239276886
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