PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q4419301)
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scientific article; zbMATH DE number 1963359
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT |
scientific article; zbMATH DE number 1963359 |
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PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (English)
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13 August 2003
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dynamic programming
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Bellman equation
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utility maximization
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Legendre transformation
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