The pricing of liabilities in an incomplete market using dynamic mean–variance hedging-Reference-Cited by-同舟云学术

The pricing of liabilities in an incomplete market using dynamic mean–variance hedging

Published:2005-06 Issue:3 Volume:36 Page:441-455
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Thomson Robert J.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference32 articles.

1. Residual risks and hedging strategies in Markovian markets;Bouleau;Stochast. Process. Appl.,1989

2. From financial economics to fair valuation;Cairns,2001

3. The derivation and application of an Australian stochastic investment model;Carter;Trans. Inst. Actuaries Aust.,1991

4. Černý, A., 1999. Dynamic programming and mean–variance hedging in discrete time. Imperial College Management School discussion paper, October, unpublished.

5. Mean–variance hedging in continuous time;Duffie;Ann. Appl. Probab.,1991

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