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On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales

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  • Christopeit, Norbert
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    Abstract

    In this paper it is shown that the space of stochastic integrals w.r. to a special semimartingal is closed and hence every square integrable random variable admits a best approximation in this space. In terms of financial economics this means that for every contingent claim there exists a hedging strategy minimizing the expected square of net loss.

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    Bibliographic Info

    Paper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 277.

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    Length: pages
    Date of creation: Nov 1994
    Date of revision:
    Handle: RePEc:bon:bonsfb:277

    Contact details of provider:
    Postal: Bonn Graduate School of Economics, University of Bonn, Adenauerallee 24 - 26, 53113 Bonn, Germany
    Fax: +49 228 73 6884
    Web page: http://www.bgse.uni-bonn.de

    Related research

    Keywords: stochastic integration; hedging; incomplete markets;

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