Mixed hedging under additive market price information
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Publication:611079
DOI10.1007/s11424-008-9107-9zbMath1208.91151OpenAlexW2062726469MaRDI QIDQ611079
Haifeng Yan, Limin Liu, Jianqi Yang
Publication date: 14 December 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-008-9107-9
Cites Work
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- The variance-optimal martingale measure for continuous processes
- Approximation pricing and the variance-optimal martingale measure
- Mean-Variance Hedging and Numeraire
- On Quadratic Cost Criteria for Option Hedging
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