A risk reserve model for hedging in incomplete markets
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Publication:975891
DOI10.1016/j.jedc.2010.02.005zbMath1230.91179OpenAlexW2084700384MaRDI QIDQ975891
Vera Minina, Michel H. Vellekoop
Publication date: 11 June 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.005
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Cites Work
- Dynamic programming and stochastic control
- Stochastic optimal control. The discrete time case
- Mean-variance hedging for general claims
- Efficient hedging: cost versus shortfall risk
- Approximation pricing and the variance-optimal martingale measure
- Quantile hedging
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
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