An extension of mean-variance hedging to the discontinuous case
From MaRDI portal
Publication:1776030
DOI10.1007/s00780-004-0136-5zbMath1063.91027MaRDI QIDQ1776030
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0136-5
Related Items
The Mean-Variance Hedging in a Bond Market with Jumps, OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS, SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES, MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET, Dynamic programming and mean-variance hedging with partial execution risk, Mean-variance hedging via stochastic control and BSDEs for general semimartingales, The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims, On the structure of general mean-variance hedging strategies, Mean-variance hedging on uncertain time horizon in a market with a jump, Some properties of the variance-optimal martingale measure for discontinuous semimartingales, MEAN VARIANCE HEDGING IN A GENERAL JUMP MARKET, Variance optimal hedging for continuous time additive processes and applications, Mean–variance portfolio selection based on a generalized BNS stochastic volatility model, THE COMPATIBLE BOND-STOCK MARKET WITH JUMPS, Mean-Variance Hedging Under Multiple Defaults Risk, The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model, Mean Variance Hedging in a General Jump Model, Variance-Optimal Hedging in General Affine Stochastic Volatility Models, $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE, HEDGING BY SEQUENTIAL REGRESSIONS REVISITED, Mean-Variance Hedging with Uncertain Trade Execution
