Model risk and discretisation of locally risk-minimising strategies
type: Item
instance of: scholarly article
title: Model risk and discretisation of locally risk-minimising strategies
zbMATH Open document ID: 1354.91154
author: Xianming Sun
author: Thorsten Schulz
author: Asma Khedher
author: Michèle Vanmaele
published in: Journal of Computational and Applied Mathematics
publication date: 2016-12-28T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 6668785
zbMATH Keywords: quadratic hedging strategies
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: jump-diffusions
MaRDI profile type: Publication
full work available at URL: j.cam.2016.07.009
OpenAlex ID: W2493315141
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DOI: 10.1016/J.CAM.2016.07.009
description: scientific article; zbMATH DE number 6668785