CVaR hedging in defaultable jump-diffusion markets (Q5014531)
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 7440867
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | CVaR hedging in defaultable jump-diffusion markets |
scientific article; zbMATH DE number 7440867 |
Statements
CVaR Hedging in Defaultable Jump-Diffusion Markets (English)
0 references
8 December 2021
0 references
partial hedging
0 references
conditional value-at-risk
0 references
jump-diffusion model
0 references
equity-linked life insurance contracts
0 references
default
0 references
0 references
0 references
0 references
0.8515358567237854
0 references
0.8429798483848572
0 references
0.798362672328949
0 references
0.7901560664176941
0 references
0.7829040884971619
0 references
