MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET

DOI10.1142/S0219024910006005zbMath1203.91278OpenAlexW2077872963MaRDI QIDQ2786037

Dewen Xiong, Michael Kohlmann

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910006005

zbMATH Keywords

backward semimartingale equationsgeneral jump marketmean-variance hedging problem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

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