Pricing and hedging in the presence of extraneous risks
From MaRDI portal
Publication:885263
DOI10.1016/j.spa.2006.10.004zbMath1124.91044MaRDI QIDQ885263
Julien Hugonnier, Pierre Collin Dufresne
Publication date: 8 June 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/141864/files/extraneous.pdf
91B38: Production theory, theory of the firm
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
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