Showing 1 - 1 of 1
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...
Persistent link: https://www.econbiz.de/10005613430