Mixed hedging under additive market price information

DOI10.1007/s11424-008-9107-9zbMath1208.91151OpenAlexW2062726469MaRDI QIDQ611079

Haifeng Yan, Limin Liu, Jianqi Yang

Publication date: 14 December 2010

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-008-9107-9

zbMATH Keywords

hedgeadditive informationcontingentmean-variance efficient frontiermixed hedging strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Mean-variance hedging in continuous time
• Option hedging for semimartingales
• Dynamic programming and mean-variance hedging
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• On quadratic hedging in continuous time
• The variance-optimal martingale measure for continuous processes
• Approximation pricing and the variance-optimal martingale measure
• Mean-Variance Hedging and Numeraire
• On Quadratic Cost Criteria for Option Hedging

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