On the Mean-Variance Hedging in the Ho--Lee Diffusion Model

DOI10.1137/S0040585X97977380zbMath0958.60077MaRDI QIDQ4510008

M. L. Nechaev

Publication date: 19 October 2000

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

optionmean-variance hedgingmarginal measuretime structure of interest rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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