Hedging with residual risk: a BSDE approach
DOI10.1007/978-3-0348-0021-1_19zbMATH Open1245.91094OpenAlexW2158648136MaRDI QIDQ2904884FDOQ2904884
Authors: Stefan Ankirchner, P. Imkeller 
Publication date: 24 August 2012
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0021-1_19
Recommendations
Malliavin calculusdifferentiabilityhedgingBSDEsub-quadratic growthfinancial derivativesstochastic calculus of variationsminimal variance hedgingutilitybased pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Title not available (Why is that?)
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Utility maximization in incomplete markets
- Title not available (Why is that?)
- Classical and variational differentiability of BSDEs with quadratic growth
- Pricing and hedging of derivatives based on nontradable underlyings
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Performance of utility-based strategies for hedging basis risk
- Optimal hedging with basis risk
- An example of indifference prices under exponential preferences
- SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
- Real options with constant relative risk aversion
- Optimal Cross Hedging of Insurance Derivatives
Cited In (2)
This page was built for publication: Hedging with residual risk: a BSDE approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2904884)
