Stochastic control methods: Hedging in a market described by pure jump processes

DOI10.1007/s10440-009-9543-0zbMath1206.60076OpenAlexW2162084134MaRDI QIDQ983684

Paola Tardelli, Anna Gerardi

Publication date: 24 July 2010

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10440-009-9543-0

zbMATH Keywords

incomplete marketmarked point processesexponential utilityhedging problemspiecewise deterministic control problems

Mathematics Subject Classification ID

Related Items (2)

Partially informed investors: hedging in an incomplete market with default ⋮ Statistical causality and purely discontinuous local martingales

Cites Work

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