An optimal multi-step quadratic risk-adjusted hedging strategy (Q2511814)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal multi-step quadratic risk-adjusted hedging strategy |
scientific article |
Statements
An optimal multi-step quadratic risk-adjusted hedging strategy (English)
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6 August 2014
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discrete time hedging
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extended Girsanov principle
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multi-step hedging
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quadratic risk minimization
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risk-adjusted criterion
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