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Multidimensional Variance-Optimal Hedging in Discrete-Time Model-A General Approach

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Publication:2707147
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DOI10.1111/1467-9965.00092zbMath1022.91025OpenAlexW1985977041MaRDI QIDQ2707147

Michał Motoczyński

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00092


zbMATH Keywords

option pricingvariance-optimal hedgingcontingent claim


Mathematics Subject Classification ID


Related Items (3)

LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ Mean-variance hedging under transaction costs ⋮ Optimal hedging when the underlying asset follows a regime-switching Markov process







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