Non Linear Feedback Effects by Hedging Strategies

Maria Elvira Mancino and Shigeyoshi Ogawa
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Shigeyoshi Ogawa: Dept. of Mathematical Sciences, Ritsumeikan University, Kusatsu, Shiga 525-8577, Japan

Chapter 12 in Stochastic Processes and Applications to Mathematical Finance, 2004, pp 255-269 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe ModelStudy of the PDEApplicationsReferences

Keywords: Stochastic Processes; Stochastic Differential Equations; Malliavin Calculus; Stochastic Control and Optimization; Functionals of Brownian Motions and Lévy Processes; Stochastic Models of Financial Market; Derivative Pricing; Hedging Problem (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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