Explicit formulas for the minimal variance hedging strategy in a martingale case

DOI10.1007/s10203-009-0097-4zbMath1202.91310OpenAlexW2089272142MaRDI QIDQ965780

Stefano Herzel, Flavio Angelini

Publication date: 26 April 2010

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-009-0097-4

zbMATH Keywords

hedgingincomplete marketsvariance-optimal hedgingcontingent claim

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Learning minimum variance discrete hedging directly from the market

Cites Work

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• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• Variance-Optimal Hedging in Discrete Time
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS