Numerical methods for the quadratic hedging problem in Markov models with jumps
Year of publication: |
December 2015
|
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Authors: | De Franco, Carmine ; Tankov, Peter ; Warin, Xavier |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015/2016, 2, p. 29-67
|
Subject: | quadratic hedging | electricity markets | Markov jump processes | partial integrodifferential equation | Hamilton-Jacobi-Bellman equation | discretization schemes for partial integrodifferential equations | Hedging | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Martingal | Martingale | Numerisches Verfahren | Numerical analysis | Mathematische Optimierung | Mathematical programming |
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