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Local risk minimization and numéraire - MaRDI portal

Local risk minimization and numéraire (Q4954243)

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scientific article; zbMATH DE number 1449145
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English
Local risk minimization and numéraire
scientific article; zbMATH DE number 1449145

    Statements

    title
    Local risk minimization and numéraire (English)
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    author
    Francesca Biagini
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    Maurizio Pratelli
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    publication date
    22 September 2002
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    zbMATH Keywords
    hedging
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    local risk-minimization
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    numéraire
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    stochastic volatility
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    minimal martingale measure
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60G35
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    60H99
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    zbMATH DE Number
    1449145
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    OpenAlex ID
    W1966763991
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