Residual risks and hedging strategies in Markovian markets
Bouleau, Nicolas ; Lamberton, Damien
HAL, hal-00017929 / Harvested from HAL
Text on HAL
We prove two explicit formulae for the quadratic residual risk and for the optimal hedging portfolio of a European contingent claim when the underlying stock prices are functions of a Markov process
Publié le : 1989-07-05
Classification:  option,  residual risk,  hedging,  Markov process,  Dirichlet form,  square field operator,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00017929,
     author = {Bouleau, Nicolas and Lamberton, Damien},
     title = {Residual risks and hedging strategies in Markovian markets},
     journal = {HAL},
     volume = {1989},
     number = {0},
     year = {1989},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00017929}
}

Bouleau, Nicolas; Lamberton, Damien. Residual risks and hedging strategies in Markovian markets. HAL, Tome 1989 (1989) no. 0, . http://gdmltest.u-ga.fr/item/hal-00017929/