Optimal hedging strategies on asymmetric functions

DOI10.1007/978-4-431-77784-7_1zbMath1183.91175OpenAlexW2158483320MaRDI QIDQ3400022

Takuji Arai

Publication date: 18 January 2010

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-77784-7_1

zbMATH Keywords

incomplete marketconvex functionmathematical financestochastic integralsemimartingale

Mathematics Subject Classification ID

Convex functions and convex programs in convex geometry (52A41) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items

Convergences in a dual space with applications to Fatou lemma

Cites Work

• On the structure of general mean-variance hedging strategies
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