Critical path for an optimal hedging strategy

DOI10.1090/conm/586/11639zbMath1279.91154OpenAlexW4253810889MaRDI QIDQ2869158

ZhiJian Wu, Jing Chen

Publication date: 3 January 2014

Published in: Recent Advances in Scientific Computing and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/conm/586/11639

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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