A utility maximization approach to hedging in incomplete markets
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Publication:1809501
DOI10.1007/S001860050100zbMATH Open0952.91027OpenAlexW2084262048MaRDI QIDQ1809501FDOQ1809501
Publication date: 8 January 2001
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050100
Cited In (15)
- Variance-optimal hedging for processes with stationary independent increments
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
- MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
- HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
- On utility maximization under convex portfolio constraints
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method
- Utility maximization under risk constraints and incomplete information for a market with a change point
- A numerical method for hedging Bermudan options under model uncertainty
- An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Title not available (Why is that?)
- Dynamic hedging in incomplete markets using risk measures
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