Add to ORKGAbstract: We consider a hedger with a mean-variance objective who faces a random loss at a ¯xed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introducing the intrinsic value process of a contingent claim. Key words: hedging, mean-variance criterion, continuous trading, option valua-tion, contingent claims, equivalent martingale measures
Summary. We consider the problem of hedging a contingent claim, in a market where prices of traded a...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
AbstractWe study the linear approximation of utility-based hedging strategies for small number of co...
A market is described by two correlated asset prices. But only one of them is traded while the conti...
In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. ...
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent cl...
In this paper we study mean–variance hedging under the -expectation framework. Our analysis is carri...
We consider the mean-variance hedging problem when the risky assets price process is a continuous se...
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift ...
Hedging strategies for contingent claims are studied in a general model for high frequency data. The...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum...
We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly...
International audienceWe consider the mean-variance hedging problem when the risky assets price proc...
In this paper we consider the problem of hedging contingent claims on a stock under transaction cost...
Summary. We consider the problem of hedging a contingent claim, in a market where prices of traded a...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
AbstractWe study the linear approximation of utility-based hedging strategies for small number of co...
A market is described by two correlated asset prices. But only one of them is traded while the conti...
In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. ...
Minimum-variance hedging of a contingent claim in discrete time is suboptimal when the contingent cl...
In this paper we study mean–variance hedging under the -expectation framework. Our analysis is carri...
We consider the mean-variance hedging problem when the risky assets price process is a continuous se...
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift ...
Hedging strategies for contingent claims are studied in a general model for high frequency data. The...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
In this work we consider the problem of the approximate hedging of a contingent claim in the minimum...
We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly...
International audienceWe consider the mean-variance hedging problem when the risky assets price proc...
In this paper we consider the problem of hedging contingent claims on a stock under transaction cost...
Summary. We consider the problem of hedging a contingent claim, in a market where prices of traded a...
This paper extends the local risk-minimization criterion for hedging contingent claims, as introduce...
AbstractWe study the linear approximation of utility-based hedging strategies for small number of co...