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Martingale
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Stochastischer Prozess
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Theory
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Hedging
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Stochastic process
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Kontrolltheorie
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Optionspreistheorie
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backward stochastic differential equation
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mean-variance hedging
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backward stochastic Riccati equation
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stochastic linear-quadratic control problem
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Martingal
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Stochastische Differenzengleichung
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backward semimartingale equations
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variance-optimal martingale measure
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Kohlmann, Michael
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Xiong, Dewen
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Ye, Zhongxing
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Applied mathematical finance
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International journal of theoretical and applied finance
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Mean variance hedging in a general jump model
Kohlmann, Michael
;
Xiong, Dewen
;
Ye, Zhongxing
- In:
Applied mathematical finance
17
(
2010
)
1/2
,
pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
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Mean variance hedging in a general jump market
Xiong, Dewen
;
Kohlmann, Michael
- In:
International journal of theoretical and applied finance
13
(
2010
)
5
,
pp. 789-820
Persistent link: https://www.econbiz.de/10008904324
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