L 2 -discrete hedging in a continuous-time model

DOI10.1080/1350486022000013672zbMath1040.91057OpenAlexW2050127700MaRDI QIDQ4804521

Abdelhamid Trad, Faouzi Trabelsi

Publication date: 2002

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

Full work available at URL: https://doi.org/10.1080/1350486022000013672

zbMATH Keywords

Black-Scholes modeloptimality criteriondiscrete hedgingmultidimensional optimal stopping problemsvariance of replication error

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Trade models (91B60) Economic growth models (91B62) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Optimal Hedging of a Perpetual American Put with a Single Trade

Cites Work

• The Pricing of Options and Corporate Liabilities
• Mean-Variance Hedging and Numeraire
• [https://portal.mardi4nfdi.de/wiki/Publication:3949750 Arr�t Optimal sur le Plan]
• Compactness of stopping times
• Unnamed Item
• Unnamed Item

This page was built for publication: L 2 -discrete hedging in a continuous-time model