Local Risk-Minimization under the Benchmark Approach
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world than the classical methodology.
|Date of creation:||01 Dec 2012|
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- Eckhard Platen, 2004.
"Diversified Portfolios with Jumps in a Benchmark Framework,"
Asia-Pacific Financial Markets,
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- Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Wiley Blackwell, vol. 16(1), pages 131-151.
- Francesca Biagini & Jan Widenmann, 2012. "Pricing Of Unemployment Insurance Products With Doubly Stochastic Markov Chains," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1250025-1-1.
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- Hardy Hulley & Martin Schweizer, 2010. "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series 280, Quantitative Finance Research Centre, University of Technology, Sydney.
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