Hedging for the long run

DOI10.1007/s11579-012-0072-7zbMath1264.91147OpenAlexW2103906548MaRDI QIDQ1938979

Hardy Hulley, Eckhard Platen

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0072-7

zbMATH Keywords

arbitrageasset price bubblessquared Bessel processesrisk-neutral valuationhedge simulationslong-dated claimsminimal market modelreal-world valuation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items

LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC, A tractable model for indices approximating the growth optimal portfolio, HEDGING UNDER ARBITRAGE, Financial models with defaultable numéraires

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