On quadratic hedging in continuous time
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.
scientific article; zbMATH DE number 1488620