Hedging costs for two large investors
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Publication:3017913
DOI10.1080/17442508.2010.490299zbMath1229.91287MaRDI QIDQ3017913
Publication date: 20 July 2011
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.490299
dynamic programming; viscosity solution; stochastic control; large investor; hedging cost; Markov market model
60J25: Continuous-time Markov processes on general state spaces
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
49J20: Existence theories for optimal control problems involving partial differential equations
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
91G10: Portfolio theory
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Cites Work
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