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Hedging bounded claims with bounded outcomes.
- Source :
- Advances in Mathematical Economics (9784431308980); 2006, p75-86, 12p
- Publication Year :
- 2006
-
Abstract
- We consider a financial market with two or more separate components each driven by a Brownian Motion. We look at the problem to hedge a bounded contingent claim in such a way that all the components remain bounded. The problem can also be rephrased as a problem in risk measures. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISBNs :
- 9784431308980
- Database :
- Supplemental Index
- Journal :
- Advances in Mathematical Economics (9784431308980)
- Publication Type :
- Book
- Accession number :
- 26350800
- Full Text :
- https://doi.org/10.1007/4-431-30899-73