Mixed hedging under additive market price information
type: Item
instance of: scholarly article
title: Mixed hedging under additive market price information
zbMATH Open document ID: 1208.91151
author: Haifeng Yan
author: Jianqi Yang
author: Limin Liu
published in: Journal of Systems Science and Complexity
publication date: 2010-12-14T00:00:00Z
review text: 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.
reviewed by: Krzysztof Piasecki
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5826120
zbMATH Keywords: additive information
zbMATH Keywords: contingent
zbMATH Keywords: hedge
zbMATH Keywords: mean-variance efficient frontier
zbMATH Keywords: mixed hedging strategy
MaRDI profile type: Publication
full work available at URL: s11424-008-9107-9
OpenAlex ID: W2062726469
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DOI: 10.1007/S11424-008-9107-9
description: scientific article; zbMATH DE number 5826120