Add to ORKGA market is described by two correlated asset prices. But only one of them is traded while the contigent claim is a function of both assets. We solve the mean-variance hedging problem completely and prove that the optimal strategy consists of a modified pure hedge expressible in terms of the obervation process and Merton-type investment
This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedge...
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...
Abstract: We consider a hedger with a mean-variance objective who faces a random loss at a ¯xed time...
We consider the mean-variance hedging problem when the risky assets price process is a continuous se...
International audienceWe consider the mean-variance hedging problem when the risky assets price proc...
We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly...
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift ...
This paper solves the mean{variance hedging problem in Heston's model with a stochastic opportunity ...
In this paper we study mean–variance hedging under the -expectation framework. Our analysis is carri...
Optimal strategies for hedging a claim on a nontraded asset X are analyzed. The claim is valued and ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
We consider the problem of L2-hedging of contingent claims in diffusion type models for securities m...
We consider the mean-variance hedging problem for pricing bond options using the yield curve as the ...
Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and ...
This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedge...
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...
Abstract: We consider a hedger with a mean-variance objective who faces a random loss at a ¯xed time...
We consider the mean-variance hedging problem when the risky assets price process is a continuous se...
International audienceWe consider the mean-variance hedging problem when the risky assets price proc...
We prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly...
The mean-variance hedging (MVH) problem is studied in a partially observable market where the drift ...
This paper solves the mean{variance hedging problem in Heston's model with a stochastic opportunity ...
In this paper we study mean–variance hedging under the -expectation framework. Our analysis is carri...
Optimal strategies for hedging a claim on a nontraded asset X are analyzed. The claim is valued and ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
We consider the problem of L2-hedging of contingent claims in diffusion type models for securities m...
We consider the mean-variance hedging problem for pricing bond options using the yield curve as the ...
Abstract. In this paper we discuss the tractability of stochastic volatility models for pricing and ...
This study uses asymptotic analysis to derive optimal hedging strategies for option portfolios hedge...
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...