Model risk and discretisation of locally risk-minimising strategies

Author:

Sun XianmingORCID,Schulz Thorsten,Khedher Asma,Vanmaele Michèle

Funder

China Scholarship Council

Ghent University

Hunan Provincial Innovation Foundation for Postgraduate Students

KPMG Centre of Excellence in Risk Management

CAS — Centre of Advanced Study

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference33 articles.

1. A guided tour through quadratic hedging approaches;Schweizer,2001

2. Variance-optimal hedging for processes with stationary independent increments;Hubalek;Ann. Appl. Probab.,2006

3. E-martingales and their applications in mathematical finance;Choulli;Ann. Probab.,1998

4. Backward stochastic differential equations driven by càdlàg martingales;Carbone;Theory Probab. Appl.,2008

5. Mean–variance hedging via stochastic control and BSDEs for general semimartingales;Jeanblanc;Ann. Appl. Probab.,2012

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