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Optimal Hedging in Incomplete Markets - MaRDI portal

Optimal Hedging in Incomplete Markets (Q4994350)

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scientific article; zbMATH DE number 7360748
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Optimal Hedging in Incomplete Markets
scientific article; zbMATH DE number 7360748

    Statements

    title
    Optimal Hedging in Incomplete Markets (English)
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    author
    George Bouzianis
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    Lane P. Hughston
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    publication date
    17 June 2021
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    zbMATH Keywords
    incomplete markets
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    pricing kernels
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    hedge ratios
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    Brownian motion
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    Lévy processes
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    Lévy measures
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    Lévy-Ito processes
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    Poisson random measure
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    simulations
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    Identifiers

    zbMATH DE Number
    7360748
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    arXiv ID
    2006.12989
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