Partial Hedging in Financial Markets with a Large Agent

DOI10.1080/13504860802670191zbMath1178.91194OpenAlexW2013273555MaRDI QIDQ3652701

Mattias Jonsson, Jungmin Choi

Publication date: 16 December 2009

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

Full work available at URL: https://doi.org/10.1080/13504860802670191

zbMATH Keywords

partial hedgingBellman PDElarge agent

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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