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The Föllmer–Schweizer decomposition: Comparison and description · Study

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ArticleThe Föllmer–Schweizer decomposition: Comparison and description

Tahir Choulli2010

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Articlebronze2010

The Föllmer–Schweizer decomposition: Comparison and description

Tahir Choulli · Nele Vandaele · Michèle Vanmaele

26 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2003Financial Modelling with Jump Processes 2003Limit Theorems for Stochastic Processes 1979Calcul Stochastique et Problèmes de Martingales 1990Hedging of contingent claims under incomplete information 2010A Guided Tour through Quadratic Hedging Approaches 1985Hedging of non-redundant contingent claims 1991Option hedging for semimartingales 1995On the minimal martingale measure and the möllmer-schweizer decomposition

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Year2010

Typearticle

Published2010-02-17

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2010.02.004

openalex_workW2093205702

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