An extension of mean-variance hedging to the discontinuous case

From MaRDI portal
Publication:1776030


DOI10.1007/s00780-004-0136-5zbMath1063.91027MaRDI QIDQ1776030

Takuji Arai

Publication date: 20 May 2005

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0136-5


60G48: Generalizations of martingales

60H05: Stochastic integrals

91G10: Portfolio theory


Related Items