Dynamic optimal hedge ratio design when price and production are stochastic with jump
From MaRDI portal
Publication:2675247
DOI10.1007/s10436-022-00410-1zbMath1496.91090MaRDI QIDQ2675247
Gaston Clément Nyassoke Titi, Louis Aimé Fono, Jules Sadefo Kamdem
Publication date: 21 September 2022
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-022-00410-1
91G20: Derivative securities (option pricing, hedging, etc.)
60J74: Jump processes on discrete state spaces
Cites Work