Browsing by Author "Costa, O. L. V."
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Sampled control for mean-variance hedging in a jump diffusion financial market
Costa, O. L. V.; Maiali, Andre Cury; Pinto, Afonso de Campos
2009In this paper we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that ... -
Sampled control for mean-variance hedging in a jump diffusion financial market
Costa, O. L. V.; Maiali, Andre Cury; Pinto, Afonso de Campos
2010-07In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation ...



