Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
DOI10.1007/s00245-014-9283-zzbMath1329.60177arXiv1312.5115OpenAlexW2051212842MaRDI QIDQ901242
Asma Khedher, Michèle Vanmaele, Giulia Di Nunno
Publication date: 23 December 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1312.5115
robustnessBrownian motionbackward stochastic differential equationsPoisson random measurejump diffusionsquadratic hedging strategies
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Financial applications of other theories (91G80) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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