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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Cerny, A.; Kallsen, J. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Hedging by Sequential Regression Revisited 
Abstract:
Almost 20 years ago Föllmer and Schweizer (1989) suggested a simple and influential scheme for the computation of hedging strategies in an incomplete market. Their approach of local risk minimization results in a sequence of one-period least squares regressions running recursively backwards in time. In the meantime there have been significant developments in the global risk minimization theory for semimartingale price processes. In this paper we revisit hedging by sequential regression in the co...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Mathematical Finance 
Jahr:
2007 
Band / Volume:
19 
Heft / Issue:
Seitenangaben Beitrag:
591-617 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein