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Mean-variance hedging and numeraire

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Author Info
Gourieroux, Christian
Laurent, Jean-Paul
Pham, Huyên

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Abstract

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Publisher Info
Paper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9611.

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Length: 23 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:cpm:cepmap:9611

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  1. Frank Thierbach, 2002. "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers bgse11_2002, University of Bonn, Germany. [Downloadable!]
  2. 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. [Downloadable!]
Statistics
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This page was last updated on 2010-8-27.

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