Cooperative hedging with a higher interest rate for borrowing
From MaRDI portal
Publication:998275
DOI10.1016/j.insmatheco.2007.06.003zbMath1152.91562OpenAlexW2065298313MaRDI QIDQ998275
Weixing Wu, Qing Zhou, ZengWu Wang
Publication date: 28 January 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.06.003
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The fundamental theorem of asset pricing for unbounded stochastic processes
- Hedging contingent claims with constrained portfolios
- A general version of the fundamental theorem of asset pricing
- Hedging American contingent claims with constrained portfolios
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Maximizing the probability of a perfect hedge
- Efficient hedging: cost versus shortfall risk
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- Multi-agent investment in incomplete markets
- Quantile hedging
- On dynamic measure of risk
- Liquidity and Asset Prices
- Backward Stochastic Differential Equations in Finance
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Optimal Control of Favorable Games with a Time Limit
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Cooperative Hedging in Incomplete Markets
- Generalized Neyman-Pearson lemma via convex duality.
This page was built for publication: Cooperative hedging with a higher interest rate for borrowing
