Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

Local risk minimization is studied for the hedging of derivatives - a general (non quadratic) risk criterion is studied, and the optimality conditions are derived.

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Year of publication:	2011-05-24
Authors:	Abergel, Frédéric ; Millot, Nicolas
Institutions:	HAL

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00620843/en/ Published, SIAM Journal on Financial Mathematics, 2011, SIAM J. Finan. Math. 2, 342 (2011)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009294615