Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes-Reference-Cited by-同舟云学术

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Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

Published:2003-01 Issue:1 Volume:13 Page:55-72
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Benth Fred Espen,Di Nunno Giulia,Lokka Arne,Oksendal Bernt,Proske Frank

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9965.t01-1-00005/fullpdf

Reference21 articles.

1. Comment on 'Pricing double barrier options using Laplace transforms' by Antoon Pelsser

2. T. Chan(1999 ): Pricing Contingent Claims on Stocks Driven by Levy Processes ,Ann. Appl. Prob.9 , 504 -528 .

3. G. DiNunno(2002 ): Stochastic Integral Representations, Stochastic Derivatives and Minimal Variance Hedging . Preprint series in Pure Mathematics. University of Oslo, 19. To appear inStoch. Stoch. Rep.73 , 181 -198 .

4. G. DiNunno, and Yu. A. Rozanov(1999 ): On Stochastic Integration and Differentiation ,Acta Appl. Math.58 , 231 -235 .

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