Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales

Thumbnail
Metadata only
Author
Jeanblanc, Monique
Mania, Michael
Santacroce, Marina
Schweizer, Martin
Show all
Date
2012-12
Type
    Journal Article
Publication status
published
External links
Journal / series
The Annals of Applied Probability
Volume
22(6)
Pages / Article No.
2388 - 2428
Publisher
Institute of Mathematical Statistics
Subject
Mean-variance hedging; Stochastic control; Backward stochastic differential equations; Semimartingales; Mathematical finance; Variance-optimal martingale measure
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin  
More
Show all metadata
Citations
Cited 28 times in Web of Science
ETH Bibliography
yes
Altmetrics