Mixed hedging under additive market price information
In this paper the authors assume the existence of an additional market information, which is represented by a prescribed, finite set of observed prices of contingent claims. They consider a mixed mean-variance hedging problem, which allows for buying or selling these specific contingent claims at the observed prices at time 0. Solving the problem by means of the techniques developed in [\textit{C. Gourieroux, J. P. Laurent} and \textit{H. Pham}, Math. Finance 8, No. 3, 179--200 (1998; Zbl 1020.91024)], the authors obtain an explicit description of the fair price and the mixed mean-variance hedging strategy for contingent claims.
scientific article; zbMATH DE number 5826120