|
|||||
|
|
Dynamic programming and mean-variance hedging |
|
| Authors: | Jean Paul Laurent Huyên Pham |
| Institution: | (1) CREST, Laboratoire de Finance-Assurance, 15 bld. Gabriél Péri, F-92245 Malakoff Cedex, France (e-mail: jpl@ensae.fr) , FR;(2) Equipe d'Analyse et de Mathématiques Appliquées, Université Marne-la-Vallée, Cité Descartes, 5 Boulevard Descartes, Champs-sur-Marne, F-77454 Marne-la-Vallée Cedex 2, France and CREST, Laboratoire de Finance-Assurance (e-mail: pham@math.univ-mlv.fr) , FR |
| Abstract: | |
| Keywords: | : Hedging incomplete markets dynamic programming hedging numéraire variance-optimal martingale measure JEL classification: G11 G12 Mathematics Subject Classification (1991): 90A09 60H30 90C39 |
| 本文献已被 SpringerLink 等数据库收录！ | |