scientific article; zbMATH DE number 433053
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Publication:3139219
zbMATH Open0790.90006MaRDI QIDQ3139219FDOQ3139219
Authors: Robert J. Elliott, David B. Colwell
Publication date: 11 November 1993
Title of this publication is not available (Why is that?)
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minimal martingale measurehedging against contingent claimslocal risk-minimizing trading strategyMarkov diffusion with jumps
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)
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- Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
- Martingale representation for contingent claims with regime switching
- On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion
- Title not available (Why is that?)
- ATTAINABLE CLAIMS IN A MARKOV MARKET
- Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
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