MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET

DOI10.1142/S0219024910006005zbMath1203.91278MaRDI QIDQ2786037

Michael Kohlmann, Dewen Xiong

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

backward semimartingale equations; general jump market; mean-variance hedging problem

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G10: Portfolio theory

Cites Work

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