A Limit Theorem on Maximum Value of Hedging with a Homogeneous Filtered Value Measure∗
نویسنده
چکیده
The author studies on a hedging problem for an European contingent claim in a certain incomplete market model by using a homogeneous filtered value measure. He considers the minimal hedging risk in discrete time model and its continuous limit. As a result, he shows that this limit is described by a viscosity solution of some HamiltonJacobi-Bellman equation.
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