Dynamic optimal hedge ratio design when price and production are stochastic with jump
Nyassoke Titi Gaston Clément, Sadefo Kamdem Jules, Fono Louis Aimé
| Year of publication: |
2022
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|---|---|
| Authors: | Clément, Nyassoke Titi Gaston ; Jules, Sadefo Kamdem ; Aimé, Fono Louis |
| Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 18.2022, 3, p. 419-428
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| Subject: | Futures | Jump-diffusion process | Lévy measure | Risk management | stochastic dynamic programming | Stochastischer Prozess | Stochastic process | Hedging | Dynamische Optimierung | Dynamic programming | Risikomanagement | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-022-00410-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013440645