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Weak Convergence of Hedging Strategies of Contingent Claims

This paper publishes results on the convergence for hedging strategies in the setting of incomplete financial markets.
Year of publication:
2002
Authors: Prigent, Jean-Luc ; Scaillet, Olivier
Publisher: International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject: Hedging | Unvollkommener Markt | Incomplete markets | Risikomanagement | risk management | Schwache Konvergenz | Weak convergence
  • 1. Introduction
  • 2. A review of the locally risk-minimizing strategy
  • 3. Convergence of the locally risk-minimizing strategy
Persistent link: https://www.econbiz.de/10005843299
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