Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
type: Item
instance of: scholarly article
title: Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
zbMATH Open document ID: 1134.91439
author: Dmitry Kramkov
author: Mihai Sîrbu
published in: Stochastic Processes and their Applications
publication date: 2007-12-17T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B26
Mathematics Subject Classification ID: 90C26
zbMATH DE Number: 5221057
zbMATH Keywords: incomplete markets
zbMATH Keywords: utility-based hedging
zbMATH Keywords: mean-variance hedging
zbMATH Keywords: risk-tolerance wealth process
zbMATH Keywords: contingent claim
zbMATH Keywords: numéraire
MaRDI profile type: Publication
full work available at URL: j.spa.2007.04.014
OpenAlex ID: W2142886190
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DOI: 10.1016/J.SPA.2007.04.014
description: scientific article