Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
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Publication:4652577
DOI10.1137/S0363012903423168zbMath1101.91041OpenAlexW2088300195MaRDI QIDQ4652577
Michael Kirch, Wolfgang J. Runggaldier
Publication date: 28 February 2005
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012903423168
incomplete marketsincomplete informationefficient hedgingBayesian approachpiecewise deterministic control problemsgeometric Poisson process
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