A time-series approach to non-self-financing hedging in a discrete-time incomplete market

DOI10.1155/2008/275217zbMath1152.91730OpenAlexW2115040485WikidataQ58645899 ScholiaQ58645899MaRDI QIDQ948840

B. E. Eshmatov

Publication date: 15 October 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54916

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (3)

ON THE NUMERICAL ASPECTS OF OPTIMAL OPTION HEDGING WITH TRANSACTION COSTS ⋮ Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market ⋮ Optimal hedging in an extended binomial market under transaction costs

Uses Software

• S-PLUS

Cites Work

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• An Explicit Formula for Option Pricing in Discrete Incomplete Markets
• Asymptotics of riskless profit under selling of discrete time call options
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
• Student processes

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