The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
type: Item
instance of: scholarly article
title: The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
zbMATH Open document ID: 1120.62094
author: Robert J. Thomson
published in: Insurance Mathematics \& Economics
publication date: 2007-05-24T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5156974
zbMATH Keywords: Market value of liabilities
zbMATH Keywords: Equilibrium market models
zbMATH Keywords: Incomplete markets
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2005.04.002
OpenAlex ID: W2062076119
cites work: Residual risks and hedging strategies in Markovian markets
cites work: Mean-variance hedging in continuous time
cites work: Q4806224
cites work: On Quadratic Cost Criteria for Option Hedging
cites work: Mean-variance hedging for general claims
cites work: Variance-Optimal Hedging in Discrete Time
cites work: A Multiperiod Equilibrium Asset Pricing Model
DOI: 10.1016/J.INSMATHECO.2005.04.002
description: scientific article; zbMATH DE number 5156974