Mean variance hedging in a general jump market

Xiong, Dewen; Kohlmann, Michael

Mean variance hedging in a general jump market

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Date

2010

Authors

Xiong, Dewen

Kohlmann, Michael

Publication type

Journal article

Published in

International journal of theoretical and applied finance ; 13 (2010), 5. - pp. 789-820

Subject (DDC)

510 Mathematics

Keywords

Optimality principle,signed VOMM,backward semimartingale equations,mean-variance hedging

Cite This

ISO 690

XIONG, Dewen, Michael KOHLMANN, 2010. Mean variance hedging in a general jump market. In: International journal of theoretical and applied finance. 13(5), pp. 789-820. Available under: doi: 10.1142/S0219024910006005

BibTex

@article{Xiong2010varia-786,
  year={2010},
  doi={10.1142/S0219024910006005},
  title={Mean variance hedging in a general jump market},
  number={5},
  volume={13},
  journal={International journal of theoretical and applied finance},
  pages={789--820},
  author={Xiong, Dewen and Kohlmann, Michael}
}

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Bibliography of Konstanz

Yes