On quadratic hedging in continuous time
type: Item
instance of: scholarly article
title: On quadratic hedging in continuous time
zbMATH Open document ID: 0977.91035
author: Huyên Pham
published in: Mathematical Methods of Operations Research
publication date: 2002-01-27T00:00:00Z
review text: The problem in finance of hedging and pricing of contingent claims is adressed in this paper. The main purpose is to review the methodologies used in the theory of quadratic hedging in a general incomplete model of continuous trading with a semimartingale price-process. This is done using portfolio strategies. Two types of criteria are used: The so-called (local) risk-minimization and the mean variance approaches.
Mathematics Subject Classification ID: 91B60
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1488620
zbMATH Keywords: hedging and pricing
zbMATH Keywords: contingent claims
zbMATH Keywords: continuous trading
zbMATH Keywords: portfolio strategies
MaRDI profile type: Publication
full work available at URL: s001860050091
OpenAlex ID: W2061111595
DOI: 10.1007/S001860050091
description: scientific article; zbMATH DE number 1488620