منابع مشابه
Variance-Optimal Hedging in Discrete Time
We solve the problem of approximating in L2 a given random variable H by stochastic integrals GT (θ) 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(θ) as the cumulative gains from trade using the hedging strategy θ. As an application, we determine the varianceoptimal st...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 1995
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.20.1.1