Dynamic programming and mean-variance hedging

• 1 January 1999
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 3  (1) , 83-110
• https://doi.org/10.1007/s007800050053

Abstract

Keywords

• FUNCTION
• HEDGING
• OPTIMAL MARTINGALE MEASURE
• VARIANCE OPTIMAL
• NUMÉRAIRE

All Related Versions

• Version 1, RePEc (Unconfirmed version)