Mean-variance hedging via stochastic control and BSDEs for general semimartingales
Work
Year: 2012
Type: article
Abstract: We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a ... more
Institutions Polytechnic University of Turin, Georgian American University, ETH Zurich, Université d'Évry Val-d'Essonne, Mathematical Institute of the Slovak Academy of Sciences +1 more
Cites: 26
Cited by: 72
Related to: 10
FWCI: 9.857
Citation percentile (by year/subfield): 95.42
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze