An extension of mean-variance hedging to the discontinuous case

Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure. Copyright Springer-Verlag Berlin/Heidelberg 2005

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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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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005613430