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Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities.

Michael KirchWolfgang J. Runggaldier
Published in: SIAM J. Control. Optim. (2004)
Keyphrases
  • poisson process
  • markov modulated
  • arrival rate
  • poisson processes
  • financial markets
  • transaction costs
  • machine learning
  • lead time
  • brownian motion