An extension of mean-variance hedging to the discontinuous case
Year of publication: |
2005
|
---|---|
Authors: | Arai, Takuji |
Published in: |
Finance and Stochastics. - Springer. - Vol. 9.2005, 1, p. 129-139
|
Publisher: |
Springer |
Subject: | Mean-variance hedging | incomplete market | variance-optimal martingale measure | reverse Hölder inequality |
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