Model risk and discretisation of locally risk-minimising strategies

DOI10.1016/j.cam.2016.07.009zbMath1354.91154OpenAlexW2493315141MaRDI QIDQ730515

Michèle Vanmaele, Xianming Sun, Asma Khedher, Thorsten Schulz

Publication date: 28 December 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2016.07.009

zbMATH Keywords

backward stochastic differential equationsjump-diffusionsquadratic hedging strategies

Mathematics Subject Classification ID

Cites Work

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