Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

DOI10.1137/100803079zbMath1217.91177OpenAlexW3123846960MaRDI QIDQ3006711

Nicolas Millot, Frederic Abergel

Publication date: 21 June 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100803079

zbMATH Keywords

hedgingderivativesincomplete marketslocal risk-minimization

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations

This page was built for publication: Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets