On macrohedging problem in semimartingale markets
نویسندگان
چکیده
Macrohedging is a hedging technique commonly used in practice. It allows one to find a hedging policy that offsets several underlying risk factors of a portfolio of assets as a whole. Here, we develop a macrohedging methodology in a general semimartingale market. We calculate the optimal macrohedge that achieves minimum risk, in a quadratic-variation sense, given a set of possible hedging instruments. We illustrate general macrohedging results by the Black-Scholes model.
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