Browsing Produção Intelectual em Bases Externas by Title "Sampled control for mean-variance hedging in a jump diffusion financial market"

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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
2009

In 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
2010-07

In 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 ...