Locally risk-minimizing strategies in discrete time incomplete financial markets

DOI10.1007/BF02883402zbMath1017.91030MaRDI QIDQ5955928

Shengwu He, Jian-ming Xia

Publication date: 18 February 2002

Published in: Chinese Science Bulletin (Search for Journal in Brave)

zbMATH Keywords

discrete timeincomplete financial marketlocally risk-minimizing strategies

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Related Items (1)

Minimal martingale measures for discrete-time incomplete financial markets

Cites Work

• Option hedging for semimartingales
• Risk-minimality and orthogonality of martingales
• On the minimal martingale measure and the möllmer-schweizer decomposition

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