Numerical methods for the quadratic hedging problem in Markov models with jumps
Carmine De Franco, Peter Tankov and Xavier Warin
| Year of publication: |
December 2015
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|---|---|
| Authors: | De Franco, Carmine ; Tankov, Peter ; Warin, Xavier |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015/2016, 2, p. 29-67
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| Subject: | quadratic hedging | electricity markets | Markov jump processes | partial integrodifferential equation | Hamilton-Jacobi-Bellman equation | discretization schemes for partial integrodifferential equations | Hedging | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442638