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Dynamic programming and mean‐variance hedging in discrete time

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References

1990Hedging of contingent claims under incomplete information736 cited
2001Numerical Methods for Stochastic Control Problems in Continuous Time654 cited
1991Mean-Variance Hedging in Continuous Time383 cited
1995Variance-Optimal Hedging in Discrete Time332 cited
1996Approximation pricing and the variance-optimal martingale measure269 cited
1992Mean-Variance Hedging for General Claims246 cited
1997Market Volatility and Feedback Effects from Dynamic Hedging197 cited
1998Mean‐Variance Hedging and Numéraire179 cited
1994On Quadratic Cost Criteria for Option Hedging164 cited
1999Dynamic programming and mean-variance hedging152 cited
2001Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach144 cited
1996On the Mean-Variance Tradeoff in Option Replication with Transactions Costs122 cited
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2003Mathematical Techniques in Finance: Tools for Incomplete Markets89 cited

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2010Mean–Variance Hedging40 cited
2019

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Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency

28 cited