Mean-Variance Hedging and Numéraire
AbstractWe consider the mean-variance hedging problem when the risky assets price process is a continuous semimartingale. The usual approach deals with self-financed portfolios with respect to the primitive assets family. By adding a numéraire as an asset to trade in, we show how self-financed portfolios may be expressed with respect to this extended assets family, without changing the set of attainable contingent claims. Copyright Blackwell Publishers Inc 1998.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 8 (1998)
Issue (Month): 3 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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- Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953, arXiv.org.
- Michael Kohlmann & Shanjian Tang, 2000. "Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging," CoFE Discussion Paper 00-26, Center of Finance and Econometrics, University of Konstanz.
- Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org.
- Kohlmann, Michael & Tang, Shanjian, 2002. "Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 255-288, February.
- Frank Thierbach, 2002. "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers bgse11_2002, University of Bonn, Germany.
- Dorival Le\~ao & Alberto Ohashi & Vinicius Siqueira, 2013. "A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility," Papers 1308.1704, arXiv.org, revised Aug 2013.
- Kramkov, D. & Sîrbu, M., 2007. "Asymptotic analysis of utility-based hedging strategies for small number of contingent claims," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1606-1620, November.
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