Stochastic Control Methods: Hedging in a Market Described by Pure Jump Processes

ISSN： 0167-8019

Source： Acta Applicandae Mathematicae, Vol.111, Iss.3, 2010-09, pp. : 233-255

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Mean-Variance Hedging on Uncertain Time Horizon in a Market with a Jump

By Kharroubi Idris Lim Thomas Ngoupeyou Armand

Applied Mathematics and Optimization, Vol. 68, Iss. 3, 2013-12 ,pp. : 413-444

Springer Publishing Company

Access to resources Recommend Favorite

Information on jump sizes and hedging

By Kang Wanmo Lee Kiseop

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 86, Iss. 6, 2014-11 ,pp. : 889-905

Taylor & Francis Ltd

Access to resources Recommend Favorite

Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes

By Elliott Robert J.

Applied Mathematical Finance, Vol. 20, Iss. 1, 2013-03 ,pp. : 1-25

Routledge Ltd

Access to resources Recommend Favorite

Multicriteria impulsive control of jump Markov processes

By Piunovskiy A. B.

Mathematical Methods of Operations Research, Vol. 60, Iss. 1, 2004-09 ,pp. : 125-144

Springer Publishing Company

Access to resources Recommend Favorite

Stochastic bounds on the zero range processes with superlinear jump rates

By Balázs Márton

Periodica Mathematica Hungarica, Vol. 47, Iss. 1-2, 2003-01 ,pp. : 17-27

Springer Publishing Company

Access to resources Recommend Favorite