Quadratic hedging problems for non-tradable assets
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Recommendations
- Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
- Hedging of contingent claims written on non traded assets under Markov-modulated models
- On quadratic hedging in continuous time
- Utility-based hedging and pricing with a nontraded asset for jump processes
- Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
Cited in
(8)- Structuration optimale de produits financiers et diversification en présence de sources de risque non-négociables. (Optimal design of financial derivatives)
- Quadratic hedging methods for defaultable claims
- Optimal Hedging and Valuation of Nontraded Assets
- Utility-based hedging and pricing with a nontraded asset for jump processes
- Some applications of L2-hedging with a non-negative wealth process
- Quadratic Hedging with Mixed State and Control Constraints
- Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
- Hedging nontradable risks with transaction costs and price impact
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