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Efficient hedging: Cost versus shortfall risk

✍ Scribed by Hans Föllmer; Peter Leukert


Book ID
106235822
Publisher
Springer-Verlag
Year
2000
Tongue
English
Weight
204 KB
Volume
4
Category
Article
ISSN
0949-2984

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## Abstract With the assumption that information cost is characterized by a Poisson process, this paper presents risk‐minimizing problems under jump‐diffusion models. First, the explicit optimal strategy under complete information is given using Itô formula. Second, the optimal strategy problem und