搜索结果: 1-4 共查到“经济学 Mean-Variance Hedging”相关记录4条 . 查询时间(0.295 秒)
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Pricing European Options Non-continuous Trading
2010/10/20
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Mean-Variance Hedging for Pricing European Options Under Assumption of Non-continuous Trading
Mean-Variance Hedging Pricing European Options Non-continuous Trading
2010/4/28
We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution. Minimizi...
Robust mean-variance hedging in the single period model
The min-max problem mean-variance hedging maximum principle robust optimization
2010/11/2
We give an explicit solution of robust mean-variance hedging problem in the single period model for some type of contingent claims. The alternative approach is also considered.
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
Optimal Robust Mean-Variance Hedging Incomplete Financial Markets
2010/12/17
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strate...