Mean Variance Hedging in a General Jump Model

DOI10.1080/13504860903075605zbMath1229.91314OpenAlexW2096012392MaRDI QIDQ3565098

Dewen Xiong, Michael Kohlmann, Zhong-Xing Ye

Publication date: 27 May 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903075605

zbMATH Keywords

mean-variance hedgingvariance-optimal martingale measurebackward semimartingale equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Mean-Variance Hedging Under Multiple Defaults Risk ⋮ Mean-variance hedging via stochastic control and BSDEs for general semimartingales ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ The Mean-Variance Hedging in a Bond Market with Jumps ⋮ MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET ⋮ Pricing and hedging of variable annuities with state-dependent fees ⋮ THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS

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