Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE (Q4652576)
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scientific article; zbMATH DE number 2139118
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE |
scientific article; zbMATH DE number 2139118 |
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Optimal Momentum Hedging via Hypoelliptic Reduced Monge--Ampère PDE (English)
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28 February 2005
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stochastic control
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dynamic programming
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optional hedging
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Merton's problem
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hypoellipticity
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