ON MEAN–VARIANCE HEDGING UNDER PARTIAL OBSERVATIONS AND TERMINAL WEALTH CONSTRAINTS
DOI10.1142/S0219024917500315zbMath1396.91695arXiv1704.06550OpenAlexW2611115694MaRDI QIDQ5357516
Vitalii Makogin, Yuliya S. Mishura, Alexander V. Melnikov
Publication date: 8 September 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1704.06550
geometric Brownian motionpartial informationmean-variance hedgingstochastic derivativeClark-Ocone representationobservable and unobservable contingent claimssemi-martingale approach
Brownian motion (60J65) Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Portfolio theory (91G10)
Related Items (1)
Cites Work
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