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CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL - MaRDI portal

CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL (Q3502985)

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CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL
scientific article

    Statements

    title
    CROSS HEDGING WITHIN A LOG MEAN REVERTING MODEL (English)
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    author
    Samuel Njoh
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    publication date
    20 May 2008
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    zbMATH Keywords
    hedging
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    incomplete markets
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    hedging numéraire
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    minimal variance martingale measure
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    mean reverting models
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    Identifiers

    zbMATH DE Number
    5277128
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