Asymptotic power utility-based pricing and hedging
Jan Kallsen; Johannes Muhle-Karbe; Richard Vierthauer
| Year of publication: |
2014
|
|---|---|
| Authors: | Kallsen, Jan ; Muhle-Karbe, Johannes ; Vierthauer, Richard |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 8.2014, 1, p. 1-28
|
| Subject: | Utility-based pricing and hedging | Incomplete markets | Mean-variance hedging | Numeraire | Semimartingale characteristics | Hedging | Unvollkommener Markt | Incomplete market | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Portfolio-Management | Portfolio selection |
| Extent: | Graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010235420