Asymptotic analysis of utility-based hedging strategies for small number of contingent claims

DOI10.1016/j.spa.2007.04.014zbMath1134.91439OpenAlexW2142886190MaRDI QIDQ2464858

Dmitry Kramkov, Mihai Sîrbu

Publication date: 17 December 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.04.014

zbMATH Keywords

incomplete marketsnumérairemean-variance hedgingcontingent claimrisk-tolerance wealth processutility-based hedging

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Auctions, bargaining, bidding and selling, and other market models (91B26)

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