Optimal Hedging with Basis Risk

Mark H. A. Davis ()
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Mark H. A. Davis: Imperial College London, Department of Mathematics

A chapter in From Stochastic Calculus to Mathematical Finance, 2006, pp 169-187 from Springer

Keywords: Trading Strategy; Initial Endowment; Incomplete Market; Fair Price; Stochastic Control Problem (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-30788-4_8

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DOI: 10.1007/978-3-540-30788-4_8

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