Mean–variance hedging of contingent claims with random maturity

DOI10.1111/mafi.12411OpenAlexW4384826110MaRDI QIDQ6187370

Mihail Zervos, Kamil Kladívko

Publication date: 31 January 2024

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

Full work available at URL: https://doi.org/10.1111/mafi.12411

zbMATH Keywords

credit risklife insuranceemployee stock optionsmean-variance hedgingrandom time horizonclassical solutions to PDEsquasi-linear parabolic PDEs

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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