Föllmer-Schweizer decomposition and mean-variance hedging for general claims

DOI10.1214/AOP/1176988281zbMath0830.60040OpenAlexW1977907686MaRDI QIDQ1897153

Christophe Stricker, Pascale Monat

Publication date: 15 January 1996

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176988281

zbMATH Keywords

semimartingalesfinancial mathematicsFöllmer-Schweizer decompositionorthogonal martingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80) Stochastic integrals (60H05)

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