Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
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References listed on IDEAS
- Föllmer, H. & Schweizer, M., 1989. "Hedging by Sequential Regression: an Introduction to the Mathematics of Option Trading," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 19(S1), pages 29-42, November.
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Emmanuel Gobet & Isaque Pimentel & Xavier Warin, 2018. "Option valuation and hedging using asymmetric risk function: asymptotic optimality through fully nonlinear Partial Differential Equations," Working Papers hal-01761234, HAL.
- Frédéric Abergel & Grégoire Loeper, 2013. "Pricing and hedging contingent claims with liquidity costs and market impact," Working Papers hal-00802402, HAL.
- Frédéric Abergel, 2013. "Comparing quadratic and non-quadratic local risk minimization for the hedging of contingent claims," Working Papers hal-00771528, HAL.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2011-09-22 (Risk Management)
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