scientific article; zbMATH DE number 797367
From MaRDI portal
Publication:4848527
Recommendations
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Quadratic hedging in affine stochastic volatility models
- Hedging problem with stochastic volatility
- Hedging under stochastic volatility
- Optimal hedging in discrete time
Cited in
(13)- On some filtering problems arising in mathematical finance
- Quadratic hedging for asset derivatives with discrete stochastic dividends.
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Market delay and \(G\)-expectations
- Construction of consistent discrete and continuous stochastic models for multiple assets with application to option valuation
- A partially observed ultra-high-frequency data model: risk-minimizing hedging
- Power utility maximization under partial information: some convergence results
- Hedging Large Portfolios of Options in Discrete Time*
- DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
- Hedging problem with stochastic volatility
- Exponential utility maximization under partial information
- Hedging options under transaction costs and stochastic volatility
- \(L^{2}\)-approximating pricing under restricted information
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4848527)