Add to ORKGWe solve the problem of approximating in L"2 a given random variable H by stochastic integrals G_T(#nu#) of a given discrete-time process X. We interpret H as a contingent claim to be paid out at time T, X as the price evolution of some risky asset in a financial market, and G(#nu#) as the cumulative gains from trade using the hedging strategy #nu#. As an application, we determine the variance-optimal strategy which minimizes the variance of the net loss H -G_T(#nu#) over all strategies #nu#. (orig.)SIGLEAvailable from TIB Hannover: RO 3009(247) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDeutsche Forschungsgemeinschaft (DFG), Bonn (Germany)DEGerman
We explicitly compute the optimal strategy in discrete time for a European option and the variance o...
In this paper the general discrete time mean-variance hedging problem is solved by dynamic programmi...
International audienceIn this work, we study the optimal discretization error of stochastic integral...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kie...
We consider variance-optimal hedging when trading is restricted to a finite time set. Using Laplace ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
In this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models ...
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposi...
The paper considers the hedging of contingent claims on assets with stochastic volatilities when the...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
Techniques in stochastic analysis are presented in a continuous time framework.We then review method...
none3noIn this paper we discuss the tractability of stochastic volatility models for pricing and hed...
This paper extends the notion of variance optimal hedging of contingent claims under the incomplete ...
We explicitly compute the optimal strategy in discrete time for a European option and the variance o...
In this paper the general discrete time mean-variance hedging problem is solved by dynamic programmi...
International audienceIn this work, we study the optimal discretization error of stochastic integral...
Abstract: We solve the problem of approximating in L2 a given random variable H by stochastic integr...
Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kie...
We consider variance-optimal hedging when trading is restricted to a finite time set. Using Laplace ...
In this paper we consider the mean-variance hedging problem of a continuous state space financial mo...
Abstract. Building on the work of Schweizer (1995) and Černy ́ and Kallsen (2007), we present discr...
In this article, we solve the variance-optimal hedging problem in stochastic volatility (SV) models ...
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposi...
The paper considers the hedging of contingent claims on assets with stochastic volatilities when the...
We present a closed form solution for the optimal hedging strategy, in discrete time, of an option w...
Techniques in stochastic analysis are presented in a continuous time framework.We then review method...
none3noIn this paper we discuss the tractability of stochastic volatility models for pricing and hed...
This paper extends the notion of variance optimal hedging of contingent claims under the incomplete ...
We explicitly compute the optimal strategy in discrete time for a European option and the variance o...
In this paper the general discrete time mean-variance hedging problem is solved by dynamic programmi...
International audienceIn this work, we study the optimal discretization error of stochastic integral...