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On quadratic hedging in continuous time

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  • Huyên Pham

Abstract

We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local) risk-minimization and the mean-variance approaches. From a mathematical viewpoint, these optimization problems lead to new variants of decomposition theorems in stochastic analysis. Copyright Springer-Verlag Berlin Heidelberg 2000

Suggested Citation

  • Huyên Pham, 2000. "On quadratic hedging in continuous time," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 51(2), pages 315-339, April.
    • Handle: RePEc:spr:mathme:v:51:y:2000:i:2:p:315-339
    DOI: 10.1007/s001860050091
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