Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales
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Date
2012-12Type
- Journal Article
Publication status
publishedExternal links
Journal / series
The Annals of Applied ProbabilityVolume
Pages / Article No.
Publisher
Institute of Mathematical StatisticsSubject
Mean-variance hedging; Stochastic control; Backward stochastic differential equations; Semimartingales; Mathematical finance; Variance-optimal martingale measureOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
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