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Local Risk-Minimization under the Benchmark Approach

We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world than the classical methodology.
Year of publication:
2012-10
Authors: Biagini, Francesca ; Cretarola, Alessandra ; Platen, Eckhard
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
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Persistent link: https://www.econbiz.de/10010599999
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