Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times (Q5422359)
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scientific article; zbMATH DE number 5202196
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times |
scientific article; zbMATH DE number 5202196 |
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Variance-Minimizing Hedging in a Model with Jumps at Deterministic Times (English)
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19 October 2007
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variance-minimizing hedging
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European call option
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Föllmer-Schweizer decomposition
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model of asset price with jumps
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nonrandom jump times
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minimal martingale measure
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