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We use in this chapter the viability/capturability approach for studying the problem of dynamic valuation and …) instead of stochastic control systems. Indeed, the very definition of the guaranteed valuation set can be formulated directly …-capture basin and find a formula for the valuation function involving an underlying criterion, use the tangential properties of such …
Persistent link: https://www.econbiz.de/10009643897
This study reconsiders the problem of hedging a liability by a portfolio made of a riskless asset and an underlying (underlying).
Persistent link: https://www.econbiz.de/10009364615