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Cross hedging with stochastic correlation

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Author Info

  • Stefan Ankirchner

    ()

  • Gregor Heyne

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-010-0148-2
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 16 (2012)
    Issue (Month): 1 (January)
    Pages: 17-43

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    Handle: RePEc:spr:finsto:v:16:y:2012:i:1:p:17-43

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    Web page: http://www.springerlink.com/content/101164/

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    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Cross hedging; Incomplete markets; Correlation; Local risk minimisation; BSDE; 91G20; 60H10; 60H07; C30; G13;

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    References

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    1. Vicky Henderson, 2002. "Valuation Of Claims On Nontraded Assets Using Utility Maximization," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 351-373.
    2. Michael Monoyios, 2004. "Performance of utility-based strategies for hedging basis risk," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 245-255.
    3. N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
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    Cited by:
    1. Vadhindran K. Rao, 2011. "Multiperiod Hedging using Futures: Mean Reversion and the Optimal Hedging Path," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 4(1), pages 133-161, December.
    2. Michael Monoyios, 2012. "Malliavin calculus method for asymptotic expansion of dual control problems," Papers 1209.6497, arXiv.org, revised Oct 2013.

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