Mean-variance hedging and numeraire
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 numÃ©raire 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 InfoPaper provided by CEPREMAP in its series CEPREMAP Working Papers (Couverture Orange) with number 9611.
Length: 23 pages
Date of creation: 1996
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- Dorival Le\~ao & Alberto Ohashi & Vinicius Siqueira, 2013. "A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility," Papers, arXiv.org 1308.1704, arXiv.org, revised Aug 2013.
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