Hedging strategy of a contingent claim in incomplete market

zbMATH Open1127.91345MaRDI QIDQ3375008FDOQ3375008

Authors: Xuanhui Liu, Qiying Hu 

Publication date: 1 March 2006

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zbMATH Keywords

Clark formuladynamic measure of risk

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cited In (13)

• Title not available (Why is that?)
• Maximizing the probability of a perfect hedge in the case of stochastic interest rate
• Pricing and hedging with globally and instantaneously vanishing risk
• Pricing and hedging in the incomplete finance market
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• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal hedging strategies for misspecified asset price models
• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
• Title not available (Why is that?)
• Claim hedging in an incomplete market

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