Showing 1 - 10 of 21
Persistent link: https://www.econbiz.de/10009356720
Persistent link: https://www.econbiz.de/10009357101
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...
Persistent link: https://www.econbiz.de/10009558490
Persistent link: https://www.econbiz.de/10009303111
Persistent link: https://www.econbiz.de/10009748717
Persistent link: https://www.econbiz.de/10009562148
Persistent link: https://www.econbiz.de/10001910889
Persistent link: https://www.econbiz.de/10000875959
Persistent link: https://www.econbiz.de/10000875960
Persistent link: https://www.econbiz.de/10000875970