Purpose By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete … derivatives with American features using local risk-minimizing strategies. The financial structure is in line with Schweizer (1988 …

It is known that the risk minimizing price of European options in Markovmodulated market satisfies a system of coupled …

It is known that the risk minimizing price of European options in Markovmodulated market satisfies a system of coupled …

In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Föllmer … framework, the locally risk-minimizing approach is carried out when the underlying process has jumps, the derivative is linked …