Dynamic complex hedging in additive markets

DOI10.1080/14697680902960234zbMath1232.91657OpenAlexW2070776372MaRDI QIDQ2994843

José Manuel Corcuera, João M. E. Guerra

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902960234

zbMATH Keywords

optimizationincomplete marketsportfolio optimizationLévy processinsider tradingexotic optionsmathematics of financederivatives hedging

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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