On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales
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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|Date of creation:||Nov 1994|
|Date of revision:|
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