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The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims

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https://hal-univ-paris8.archives-ouvertes.fr/hal-02879222
Contributor : Haki Shtalbi <>
Submitted on : Tuesday, June 23, 2020 - 4:06:56 PM
Last modification on : Thursday, June 25, 2020 - 3:36:54 AM

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  • HAL Id : hal-02879222, version 1

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Stéphane Goutte, Armand Ngoupeyou. The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims. Stochastic Processes and their Applications, Elsevier, 2015, 125 (4), pp.1323-1351. ⟨hal-02879222⟩

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