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by N Lazrieva, Thoronjadze

Venue: | Journal of Mathematical Sciences |

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by
R. Tevzadze, T. Uzunashvili
, 908

"... mean-variance hedging in the single period model ..."

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...aracterization of the optimal strategy has been obtained (see [4],[9],[8]). For the case of unknown volatility coefficients the construction of hedging strategy were given in the works [1], [3], [2], =-=[10]-=-. 1The most difficult case is to characterize the optimal strategy of minimax (or maximin) problem under uncertainty of both drift and volatility terms. Talay and Zheng [13] applied the PDE-based app...

by
S. Cawstonand, L. Vostrikova
, 2011

"... ar ..."

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...scher measures [31]. All these approaches can be considered in unified way using so called f -divergences, introduced by Ciszar [13] and investigated in a number of papers and books (see for instance =-=[40]-=- and references there). We recall that for f a convex function on R+,∗ and two measures Q and P such that Q << P , the f -divergence of Q with respect to P is defined as f(Q|P ) = EP [f( dQ dP )] wher...

by
R. Tevzadze, T. Toronjadze

"... ar ..."

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...acterization of the optimal strategy has been obtained (see [5], [8], [7]). For the case of unknown volatility coefficients the construction of hedging strategy were given in the works [1], [3], [2], =-=[16]-=-. The most difficult case is to characterize the optimal strategy of minimax (or maximin) problem under uncertainty of both drift and volatility terms. Talay and Zheng [22] applied the PDE-based appro...

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