On mean-variance hedging under partial observations and terminal wealth constraints
Vitalii Makogin, Alexander Melnikov, Yuliya Mishura
| Year of publication: |
August 2017
|
|---|---|
| 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 | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Unvollkommene Information | Incomplete information |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500315 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011734050