Mean-Variance Hedging Under Additional Market Information

DOI10.1142/S0219024903002092zbMath1079.91044OpenAlexW3125769878MaRDI QIDQ5696874

F. Thierbach

Publication date: 19 October 2005

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

Full work available at URL: https://doi.org/10.1142/s0219024903002092

zbMATH Keywords

option pricingincomplete marketsmean variance hedgingvariance-optimal martingale measure

Mathematics Subject Classification ID

Related Items (1)

Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Approximating random variables by stochastic integrals
• On \(L^2\)-projections on a space of stochastic integrals
• Residual risks and hedging strategies in Markovian markets
• The variance-optimal martingale measure for continuous processes
• Mean-Variance Hedging and Numeraire
• Calibrating volatility surfaces via relative-entropy minimization

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