Discrete-time optimal hedging for multi-asset path-dependent European contingent claims

In this paper, we consider the problem of discrete-time optimal hedging for a European contingent claim (ECC) written on multiple assets where the underlying assets are assumed to follow a vector Ito differential equation. Specifically, since the underlying asset is assumed to be a continuous-time p...

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Bibliographische Detailangaben

Hauptverfasser:	Kumar, M.U., Chellaboina, V., Bhat, S., Prasad, S., Bhatia, A.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Closed-form solution Contracts Covariance matrix Differential equations Indium tin oxide Optimal control Portfolios Pricing Solid modeling Stochastic processes
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