Mean-Variance Hedging Under Additional Market Information

DOI10.1142/S0219024903002092MaRDI QIDQ5696874zbMATH OpenOpenAlexFDO

Authors F. Thierbach

Publication date 19 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024903002092

zbMATH Keywords

incomplete marketsmean variance hedgingoption pricingvariance-optimal martingale measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Recommendations

• Mixed hedging under additive market price information
• Quadratic hedging strategies under inner information
• Mean-Variance Hedging Under Partial Information
• scientific article; zbMATH DE number 17495
• Some results on quadratic hedging with insider trading

Cites work

• Approximating random variables by stochastic integrals
• Calibrating volatility surfaces via relative-entropy minimization
• scientific article; zbMATH DE number 3473182 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Mean-variance hedging and numéraire
• On L^2-projections on a space of stochastic integrals
• Residual risks and hedging strategies in Markovian markets
• The pricing of options and corporate liabilities
• The variance-optimal martingale measure for continuous processes

Cited in

(4)

• Arbitrage and completeness in financial markets with given N-dimensional distributions
• Quadratic hedging strategies under inner information
• Making mean-variance hedging implementable in a partially observable market
• Mixed hedging under additive market price information

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