Hedging for the long run
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Publication:1938979
DOI10.1007/s11579-012-0072-7zbMath1264.91147OpenAlexW2103906548MaRDI QIDQ1938979
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-012-0072-7
arbitrageasset price bubblessquared Bessel processesrisk-neutral valuationhedge simulationslong-dated claimsminimal market modelreal-world valuation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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