Option pricing under residual risk and imperfect hedging
type: Item
instance of: scholarly article
title: Option pricing under residual risk and imperfect hedging
zbMATH Open document ID: 1308.91172
author: Xiao-Tian Wang
author: Xiang-Qian Liang
author: Zemin Zhou
published in: Journal of Mathematical Analysis and Applications
publication date: 2015-03-27T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6420623
zbMATH Keywords: residual risk
zbMATH Keywords: scaling
zbMATH Keywords: option pricing
zbMATH Keywords: imperfect hedging
zbMATH Keywords: asymptotic approach
MaRDI profile type: MaRDI publication profile
full work available at URL: j.jmaa.2014.01.060
OpenAlex ID: W1984009353
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cites work: Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
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DOI: 10.1016/J.JMAA.2014.01.060
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description: scientific article; zbMATH DE number 6420623