Mean variance hedging in a general jump market

Xiong, Dewen; Kohlmann, Michael

Mean variance hedging in a general jump market

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2010

Autor:innen

Xiong, Dewen

Kohlmann, Michael

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen in

International journal of theoretical and applied finance. 2010, 13(5), pp. 789-820. Available under: doi: 10.1142/S0219024910006005

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

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

Zitieren

ISO 690

XIONG, Dewen, Michael KOHLMANN, 2010. Mean variance hedging in a general jump market. In: International journal of theoretical and applied finance. 2010, 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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