Partial hedging in a stochastic volatility environment

Mathematical Finance

Volumn 12, Issue 4, 2002, Pages 375-409

  Jonsson, Mattias ^a   Sircar, K Ronnie ^b,c  

^a UNIVERSITY OF MICHIGAN   (United States)

^b Princeton University   (United States)

^c PRINCETON UNIVERSITY   (United States)

Author keywords

Asymptotic analysis; Dynamic programming; Hamilton Jacobi Bellman equations; Hedging of options; Stochastic volatility; Utility maximization

Indexed keywords

EID: 0036789364     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2002.tb00130.x     Document Type: Article

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