Explicit formulas for the minimal variance hedging strategy in a martingale case
type: Item
instance of: scholarly article
title: Explicit formulas for the minimal variance hedging strategy in a martingale case
zbMATH Open document ID: 1202.91310
author: Flavio Angelini
author: Stefano Herzel
published in: Decisions in Economics and Finance
publication date: 2010-04-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G42
zbMATH DE Number: 5701502
zbMATH Keywords: incomplete markets
zbMATH Keywords: hedging
zbMATH Keywords: contingent claim
zbMATH Keywords: variance-optimal hedging
MaRDI profile type: Publication
full work available at URL: s10203-009-0097-4
OpenAlex ID: W2089272142
cites work: Measuring the error of dynamic hedging: a Laplace transform approach
cites work: Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
cites work: OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
cites work: Q3815091
cites work: Variance-optimal hedging for processes with stationary independent increments
cites work: EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
cites work: Variance-Optimal Hedging in Discrete Time
cites work: A guided tour through quadratic hedging approaches
DOI: 10.1007/S10203-009-0097-4
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description: scientific article; zbMATH DE number 5701502