Optimal hedging via large deviation

DOI10.1016/j.physa.2013.03.022zbMath1402.91814OpenAlexW1963976143MaRDI QIDQ1673025

Michael J. Stutzer

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.03.022

zbMATH Keywords

large deviationseconophysicsderivative securities

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Small noise asymptotics for a stochastic growth model
• Portfolio choice with endogenous utility: a large deviations approach.
• A large deviations approach to optimal long term investment
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Fitting the variance-gamma model to financial data
• The Variance Gamma Process and Option Pricing
• The Large Deviations of Estimating Rate Functions
• Introduction to Econophysics

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