Weak Convergence of Hedging Strategies of Contingent Claims

This paper presents results on the convergence for hedging strategies in the setting of incomplete financial markets. We examine the convergence of the so-called locally risk-minimizing strategy.(...)

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Year of publication:	2002
Authors:	Prigent, Jean-Luc ; Scaillet, Olivier
Institutions:	Université <Genève> / Section des Hautes Etudes Commerciales
Subject:	Hedging \| Unvollkommener Markt \| Incomplete markets \| Risikomanagement \| risk management \| Schwache Konvergenz \| Weak convergence

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Extent:	284672 bytes 27 p. application/pdf
Series:	Université Genève - Section des Hautes Etudes Commerciales - Recherches & Publications
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005843579