On the Mean-Variance Hedging Problem

DOI10.1137/S0040585X97977136zbMath0953.60024OpenAlexW2067491790MaRDI QIDQ4954388

M. L. Nechaev, Alexander V. Melnikov

Publication date: 6 June 2000

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

Full work available at URL: https://doi.org/10.1137/s0040585x97977136

zbMATH Keywords

approximationdiscrete timestochastic integralsmean-variance hedging

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Related Items (5)

Dynamic programming and mean-variance hedging with partial execution risk ⋮ Quadratic hedging for sequential claims with random weights in discrete time ⋮ Hedging derivatives on two assets with model risk ⋮ Quantile hedging for guaranteed minimum death benefits ⋮ Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching

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