A time-series approach to non-self-financing hedging in a discrete-time incomplete market
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Publication:948840
DOI10.1155/2008/275217zbMATH Open1152.91730OpenAlexW2115040485WikidataQ58645899 ScholiaQ58645899MaRDI QIDQ948840FDOQ948840
Authors: B. E. Eshmatov 
Publication date: 15 October 2008
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54916
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- An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
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Cited In (6)
- On hedging in finite security markets
- On the numerical aspects of optimal option hedging with transaction costs
- An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Optimal hedging of path-dependent options in dicalete time incomplete market
- Optimal hedging in an extended binomial market under transaction costs
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