Full-text resources of PSJD and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 1 Acta Physica Polonica A

Years help

  1. 1 2016

Authors help

  1. 1 Xiao Q.

  2. 1 Zhao P.

Preferences help
Polish version English version Language
enabled [disable] Abstract
Number of results

Results found: 1

Number of results on page
first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Content available remote

Variance-Optimal Hedging for the Process Based on Non-Extensive Statistical Mechanics and Poisson Jumps

100%
Zhao P., Xiao Q.
Acta Physica Polonica A
|
2016
|
vol. 129
|
issue 6
1252-1256
EN
In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.