Hedging options in the incomplete market with stochastic volatility
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Publication:440150
DOI10.4310/SII.2009.V2.N4.A8zbMATH Open1245.91095MaRDI QIDQ440150
Publication date: 18 August 2012
Published in: Statistics and Its Interface (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Title not available (Why is that?) ⋮ Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility ⋮ On the monotonicity and constancy of signs of some rational explicit methods for nonlinear systems of ordinary differential equations ⋮ Option pricing under residual risk and imperfect hedging
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