Mean-Variance Hedging Under Partial Information
نویسندگان
چکیده
منابع مشابه
Mean-Variance Hedging Under Partial Information
We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is available. We show that the initial mean variance hedging problem is equivalent to a new mean variance hedging problem with an additional correction term, which is ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2008
ISSN: 0363-0129,1095-7138
DOI: 10.1137/070700061