Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
type: Item
instance of: scholarly article
title: Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
zbMATH Open document ID: 1257.91053
author: Bruno Bouchard
author: Ngoc Minh Dang
published in: Finance and Stochastics
publication date: 2013-02-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6135141
zbMATH Keywords: stochastic target problems
zbMATH Keywords: state constraints
zbMATH Keywords: pricing under risk constraint
zbMATH Keywords: book liquidation
MaRDI profile type: Publication
full work available at URL: s00780-012-0198-8
OpenAlex ID: W2163192117
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DOI: 10.1007/S00780-012-0198-8
description: scientific article; zbMATH DE number 6135141