A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
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Publication:2770981
DOI10.1111/1467-9965.00122zbMath1032.91058OpenAlexW2063687989MaRDI QIDQ2770981
Eckhard Platen, David C. Heath, Martin Schweizer
Publication date: 16 March 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00122
simulationpartial differential equationsstochastic modelsmean-variance hedgingincomplete financial marketslocal risk-minimisation
Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)
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