Cooperative hedging with a higher interest rate for borrowing

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

zbMATH Keywords

hedgingstochastic volatilitybackward stochastic differential equationNeyman pearson Lemma

Mathematics Subject Classification ID

Related Items (1)

Cooperative hedging in the complete market under \(g\)-expectation constraint

Cites Work

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