A risk reserve model for hedging in incomplete markets
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Publication:975891
DOI10.1016/J.JEDC.2010.02.005zbMATH Open1230.91179OpenAlexW2084700384MaRDI QIDQ975891FDOQ975891
Authors: Vera Minina, M. H. Vellekoop 
Publication date: 11 June 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.005
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- scientific article; zbMATH DE number 1304728
Derivative securities (option pricing, hedging, etc.) (91G20) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Quantile hedging
- Dynamic programming and stochastic control
- Stochastic optimal control. The discrete time case
- Efficient hedging: cost versus shortfall risk
- Approximation pricing and the variance-optimal martingale measure
- Mean-variance hedging for general claims
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
Cited In (7)
- Pricing and hedging in incomplete markets with model uncertainty
- Utility based pricing of contingent claims in incomplete markets
- Residual risks and hedging strategies in Markovian markets
- Dynamic hedging in incomplete markets using risk measures
- Risk measure pricing and hedging in incomplete markets
- Option market making under inventory risk
- Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
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