Mean-Variance Hedging for Discontinuous Semimartingales
نویسندگان
چکیده
منابع مشابه
Mean-variance Hedging in the Discontinuous Case
The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal signed martingale measure (VSMM) is non-zero almost surely (but may be strictly negative). When discuss...
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ژورنال
عنوان ژورنال: Tokyo Journal of Mathematics
سال: 2002
ISSN: 0387-3870
DOI: 10.3836/tjm/1244208863