Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
Local risk minimization is studied for the hedging of derivatives - a general (non quadratic) risk criterion is studied, and the optimality conditions are derived.
|Date of creation:||24 May 2011|
|Date of revision:|
|Publication status:||Published, SIAM Journal on Financial Mathematics, 2011, SIAM J. Finan. Math. 2, 342 (2011)|
|Note:||View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00620843/en/|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 385-413.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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