Efficient hedging when asset prices follow a geometric Poisson process with unknown intensities

SIAM Journal on Control and Optimization

Volumn 43, Issue 4, 2005, Pages 1174-1195

  Kirch, Michael ^a,b   Runggaldier, Wolfgang J ^c  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b Goldman Sachs Group   (United States)

^c UNIVERSITY OF PADOVA   (Italy)

Author keywords

Bayesian approach; Efficient hedging; Geometric Poisson process; Incomplete information; Incomplete markets; Piecewise deterministic control problems

Indexed keywords

BAYESIAN APPROACHES; EFFICIENT HEDGING; GEOMETRIC POISSON PROCESS; INCOMPLETE INFORMATION; INCOMPLETE MARKETS; PIECEWISE DETERMINISTIC CONTROL PROBLEMS;

ALGORITHMS; CONTROL THEORY; FUNCTIONS; MATHEMATICAL MODELS; OPTIMIZATION; POISSON EQUATION; PROBLEM SOLVING;

STOCHASTIC PROGRAMMING;

EID: 23244437439     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012903423168     Document Type: Article

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