Change of filtrations and mean–variance hedging
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Publication:5433511
DOI10.1080/17442500701434325zbMath1130.91339OpenAlexW2104505819MaRDI QIDQ5433511
Dewen Xiong, Michael Kohlmann, Zhong-Xing Ye
Publication date: 9 January 2008
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500701434325
backward stochastic differential equationsmean-variance hedgingstochastic Riccati equationvariance-optimal martingale measurechange of filtration
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Related Items (4)
The Föllmer–Schweizer decomposition under incomplete information ⋮ Exponential utility maximization under partial information ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET
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