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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- Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org.
- 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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