Mean–variance hedging of contingent claims with random maturity

DOI10.1111/MAFI.12411MaRDI QIDQ6187370zbMATH OpenOpenAlexFDO

Authors Kamil Kladívko, Mihail Zervos

Publication date 31 January 2024

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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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Cites work

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• The Valuation of Executive Stock Options in an Intensity-Based Framework *
• Valuation of Investments in Real Assets with Implications for the Stock Prices

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