Backward stochastic PDE and imperfect hedging

International Journal of Theoretical and Applied Finance

Volumn 6, Issue 7, 2003, Pages 663-692

  Mania, M ^a   Tevzadze, R ^b  

^a A RAZMADZE MATHEMATICAL INSTITUTE   (Georgia)

^b INSTITUTE OF CYBERNETICS   (Georgia)

Author keywords

Backward stochasic partial differential equation; Incomplete markets; Mean variance hedging; Semimartinggale market model

Indexed keywords

EID: 0242593868     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024903002122     Document Type: Article

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