Mean–variance hedging of contingent claims with random maturity

DOI10.1111/MAFI.12411OpenAlexW4384826110MaRDI QIDQ6187370FDOQ6187370

Authors: Kamil Kladívko, Mihail Zervos 

Publication date: 31 January 2024

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12411

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zbMATH Keywords

employee stock optionscredit riskmean-variance hedginglife insurancerandom time horizonclassical solutions to PDEsquasi-linear parabolic PDEs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Dynamic programming in optimal control and differential games (49L20)

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