Mean-variance hedging for pricing European-type contingent claims with transaction costs. (Q1421067)
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scientific article; zbMATH DE number 2032502
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance hedging for pricing European-type contingent claims with transaction costs. |
scientific article; zbMATH DE number 2032502 |
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Mean-variance hedging for pricing European-type contingent claims with transaction costs. (English)
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2003
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A European-type contingent claim pricing problem is considered. Some related optimization problems are studied, focussing on minimization of hedging risk.
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