SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES

DOI10.1142/S0219024905003062zbMath1139.91332MaRDI QIDQ5462700

Takuji Arai

Publication date: 3 August 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

jump diffusionmean-variance hedgingvariance-optimal martingale measure

Mathematics Subject Classification ID

Related Items (1)

Optimal Hedging in Incomplete Markets

Cites Work

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• Approximating random variables by stochastic integrals
• On \(L^2\)-projections on a space of stochastic integrals
• An extension of mean-variance hedging to the discontinuous case
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Mean-Variance Hedging and Numeraire
• On the minimal martingale measure and the möllmer-schweizer decomposition

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