The Föllmer–Schweizer decomposition under incomplete information
Author:
Affiliation:
1. Department of Economics, University “G. D’Annunzio” of Chieti-Pescara, Pescara, Italy.
2. Department of Economics, University of Perugia, Perugia, Italy.
3. Department of Mathematics and Computer Science, University of Perugia, Perugia, Italy.
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2017.1290094
Reference25 articles.
1. Unicité et existence de la loi minimale
2. Risk minimizing hedging for a partially observed high frequency data model
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5. A benchmark approach to risk-minimization under partial information
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