The Föllmer–Schweizer decomposition under incomplete information
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Publication:4584693
DOI10.1080/17442508.2017.1290094zbMath1394.60055arXiv1511.05465OpenAlexW3106215755MaRDI QIDQ4584693
Alessandra Cretarola, Claudia Ceci, Katia Colaneri
Publication date: 4 September 2018
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.05465
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Related Items (3)
LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
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