搜索结果: 1-2 共查到“经济学 Hedging Problem”相关记录2条 . 查询时间(0.062 秒)
Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-dierential equation Holder spaces electricity markets discretization schemes for PIDE.
font style='font-size:12px;'>
2012/9/14
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
The Fundamental Theorem Asset Pricing Hedging Problem
font style='font-size:12px;'>
2011/1/4
This paper consists of two parts. In the first part, by building on the work of Jouini and Kallal in [26], Sch\"urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...