A guided tour through quadratic hedging approaches
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References listed on IDEAS
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- Francesca Biagini & Paolo Guasoni & Maurizio Pratelli, 2000. "Mean-Variance Hedging for Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 109-123.
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More about this item
Keywordsrisk-minimization; locally risk-minimizing; mean-variance hedging; minimal martingale measure; variance-optimal martingale measure; Föllmer-Schweizer decomposition; quadratic hedging criteria; incomplete markets;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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