Bounds on mean variance hedging in jump diffusion
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Publication:6185522
DOI10.4064/am2462-6-2023OpenAlexW4387774733MaRDI QIDQ6185522
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Publication date: 29 January 2024
Published in: Applicationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/am2462-6-2023
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
Cites Work
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Option hedging for semimartingales
- Incompleteness of markets driven by a mixed diffusion
- Mean-variance hedging via stochastic control and BSDEs for general semimartingales
- Discovery of the maximum principle
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- Mean-Variance Hedging When There Are Jumps
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS1
- General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients
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