Optimal Hedging in Incomplete Markets

DOI10.1080/1350486X.2020.1819831zbMath1466.91327arXiv2006.12989MaRDI QIDQ4994350

George Bouzianis, Lane P. Hughston

Publication date: 17 June 2021

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

Full work available at URL: https://arxiv.org/abs/2006.12989

zbMATH Keywords

Lévy processesBrownian motionincomplete marketssimulationsPoisson random measurehedge ratiosLévy measurespricing kernelsLévy-Ito processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Mean-Variance Hedging and Numeraire
• Mean-Variance Hedging When There Are Jumps
• Lévy Processes and Stochastic Calculus
• MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
• SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES

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