Quadratic-Variation-Based Dynamic Strategies

DOI10.1287/mnsc.41.4.722zbMath0836.90009OpenAlexW2088047811MaRDI QIDQ4859340

Avi Bick

Publication date: 7 January 1996

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.41.4.722

zbMATH Keywords

portfolio insurancetrading strategiesquadratic variationEuropean-style optionsIto's lemma

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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