Mean-variance Hedging in the Discontinuous Case
Probability
2008-12-10 v1 Optimization and Control
Computational Finance
Abstract
The results on the mean-variance hedging problem in Gouri\'eroux, Laurent and Pham (1998), Rheinl\"ander and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the num\'eraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal signed martingale measure (VSMM) is non-zero almost surely (but may be strictly negative). When discussing the relation between the solutions and the Galtchouk-Kunita-Watanabe decompositions under the VSMM, we only assume the VSMM is equivalent to the reference probability.
Keywords
Cite
@article{arxiv.math/0607775,
title = {Mean-variance Hedging in the Discontinuous Case},
author = {Jianming Xia},
journal= {arXiv preprint arXiv:math/0607775},
year = {2008}
}
Comments
22pages