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The Mean-Variance Hedging of a Defaultable Option with Partial Information

  • Published:2007-06-26 Issue:4 Volume:25 Page:869-893
  • ISSN:0736-2994
  • Container-title:Stochastic Analysis and Applications
  • language:en
  • Short-container-title:Stochastic Analysis and Applications

Author:

Kohlmann Michael,Xiong Dewen

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Short Communication: A Note on Utility Indifference Pricing with Delayed Information;SIAM Journal on Financial Mathematics;2021-01

2. Market delay and G-expectations;Stochastic Processes and their Applications;2020-02

3. Optimal Control of Backward Doubly Stochastic Systems With Partial Information;IEEE Transactions on Automatic Control;2015-01

4. MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET;International Journal of Theoretical and Applied Finance;2010-08

5. Mean-Variance Hedging;Encyclopedia of Quantitative Finance;2010-05-15
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