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A limit theorem on maximum value of hedging with a homogeneous filtered value measure - MaRDI portal

A limit theorem on maximum value of hedging with a homogeneous filtered value measure

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Publication:2902444

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zbMATH Open1262.91097MaRDI QIDQ2902444

Yuji Umezawa

Publication date: 20 August 2012

Published in: Journal of Mathematical Sciences. University of Tokyo (Search for Journal in Brave)

zbMATH Keywords

hedging incomplete market limit theorem dynamic risk measure

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Limit theorems in probability theory (60F99)

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