On mean-variance hedging under partial observations and terminal wealth constraints
Year of publication: |
August 2017
|
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Authors: | Makogin, Vitalii ; Melʹnikov, Aleksandr V. ; Mišura, Julija S. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 5, p. 1-21
|
Subject: | Mean-variance hedging | partial information | observable and unobservable contingent claims | Clark-Ocone representation | semi-martingale approach | stochastic derivative | geometric Brownian motion | Hedging | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Portfolio-Management | Portfolio selection |
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