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Hedging bounded claims with bounded outcomes

Delbaen, Freddy - In: Advances in mathematical economics 8 (2006), pp. 75-86

Persistent link: https://www.econbiz.de/10003308920

A guided tour through quadratic hedging approaches

Schweizer, Martin - 1999

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local...

Persistent link: https://www.econbiz.de/10009582411

A guided tour through quadratic hedging approaches

Schweizer, Martin - 1999

Persistent link: https://www.econbiz.de/10001473109

On Bermudan options

Schweizer, Martin - In: Advances in finance and stochastics : essays in honour …, (pp. 257-270). 2002

Persistent link: https://www.econbiz.de/10001672241

Risk-minimizing hedging strategies under restricted information

Schweizer, Martin - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 327-342

Persistent link: https://www.econbiz.de/10001185075

Hedging under transaction costs in currency markets: a discrete-time model

Delbaen, Freddy; Kabanov, Jurij M.; Valkeila, Esko - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10001686163

Exponential hedging and entropic penalties

Delbaen, Freddy (contributor) - In: Mathematical finance : an international journal of … 12 (2002) 2, pp. 99-123

Persistent link: https://www.econbiz.de/10001686219

Weighted norm inequalities and hedging in incomplete markets

Delbaen, Freddy (contributor) - In: Finance and stochastics 1 (1997) 3, pp. 181-227

Persistent link: https://www.econbiz.de/10001224224

A super-replication theorem in Kabanov's model of transaction costs

Campi, Luciano; Schachermayer, Walter - In: Finance and stochastics 10 (2006) 4, pp. 579-596

Persistent link: https://www.econbiz.de/10003405654

Variance optimal hedging in discrete time

Schweizer, Martin - 1993

Persistent link: https://www.econbiz.de/10000855568