Partial hedging in rough volatility models
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Publication:6585785
DOI10.1137/23M1583090zbMATH Open1542.91401MaRDI QIDQ6585785
Edouard Motte, Donatien Hainaut
Publication date: 12 August 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
stochastic controlpartial hedgingHamilton-Jacobi-BellmanMarkov approximationrough volatilitydual control method
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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