Mean-variance hedging of contingent claims with random maturity
Year of publication: |
2023
|
---|---|
Authors: | Kladívko, Kamil ; Zervos, Mihail |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 4, p. 1213-1247
|
Subject: | classical solutions to PDEs | credit risk | employee stock options | life insurance | mean-variance hedging | quasi-linear parabolic PDEs | random time horizon | Hedging | Optionspreistheorie | Option pricing theory | Lebensversicherung | Life insurance | Aktienoption | Stock option | Portfolio-Management | Portfolio selection |
-
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
Barigou, Karim, (2019)
-
Pricing and hedging defaultable participating contracts with regime switching and jump risk
Le Courtois, Olivier, (2020)
-
Hedging Cryptocurrency Options
Matic, Jovanka Lili, (2021)
- More ...
-
The Czech Treasury Yield Curve from 1999 to the Present
Kladívko, Kamil, (2010)
-
Kladívko, Kamil, (2022)
-
The Czech treasury yield curve from 1999 to the present
Kladívko, Kamil, (2010)
- More ...