Pertubative expansion of FBSDE in an incomplete market with stochastic volatility
Masaaki Fujii; Akihiko Takahashi
| Year of publication: |
2012
|
|---|---|
| Authors: | Fujii, Masaaki ; Takahashi, Akihiko |
| Published in: |
The quarterly journal of finance. - Singapore : World Scientific Publ., ISSN 2010-1392, ZDB-ID 2620599-3. - Vol. 2.2012, 3, p. 1501-1524
|
| Subject: | Cole-Hopf transformation | Portfolio-Management | Portfolio selection | Hedging | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Unvollkommener Markt | Incomplete market |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | FBSDE = forward-backward-stochastic-differential-equations |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009679953