Quadratic hedging for asset derivatives with discrete stochastic dividends.

DOI10.1016/S0167-6687(02)00212-3zbMath1081.91012OpenAlexW3121793794MaRDI QIDQ1413392

Anna Battauz

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00212-3

zbMATH Keywords

incomplete marketquadratic hedgingdiscrete dividendsexogeneous riskno arbitrage approach

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Tax- and expense-modified risk-minimization for insurance payment processes ⋮ DIVIDENDS AND UNCERTAINTY: EVIDENCE FROM THE ITALIAN MARKET ⋮ Optimal stopping and American options with discrete dividends and exogenous risk ⋮ On the existence of sure profits via flash strategies

Cites Work

• A note on the terminal date security prices in a continuous time trading model with dividends
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