Pricing and hedging with globally and instantaneously vanishing risk (Q3519374)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5312114
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing and hedging with globally and instantaneously vanishing risk |
scientific article; zbMATH DE number 5312114 |
Statements
Pricing and hedging with globally and instantaneously vanishing risk (English)
0 references
14 August 2008
0 references
optimal hedging
0 references
pricing of non-attainable claims
0 references
incomplete markets
0 references
coherent risk measures
0 references
\(\Delta\)-hedging
0 references
market risk
0 references
BSDE
0 references
\(g\)-expectation
0 references
generalized Black-Scholes equation
0 references
option pricing
0 references
robust martingale representation
0 references
0.7892842292785645
0 references
0.77703458070755
0 references
0.7687781453132629
0 references
