On the Mean-Variance Hedging Problem

DOI10.1137/S0040585X97977136MaRDI QIDQ4954388zbMATH OpenOpenAlexFDO

Authors M. L. Nechaev, Alexander Melnikov

Publication date 6 June 2000

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97977136

zbMATH Keywords

approximationdiscrete timemean-variance hedgingstochastic integrals

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

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Cited in

(27)

• Stochastic regression and its application to hedging in finance
• Mean-variance hedging in continuous time
• Mean-variance hedging for general claims
• Approximating random variables by stochastic integrals
• Construction of a mean-square optimal hedge with limited investment
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Approximation pricing and the variance-optimal martingale measure
• Hedging derivatives on two assets with model risk
• On the structure of general mean-variance hedging strategies
• Quadratic hedging for sequential claims with random weights in discrete time
• Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading
• Stochastic integral representations, stochastic derivatives and minimal variance hedging
• scientific article; zbMATH DE number 2131684 (Why is no real title available?)
• $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
• Hedging by sequential regressions revisited
• Quantile hedging for guaranteed minimum death benefits with regime switching
• Mean-variance hedging in continuous-time with stochastic interest rate
• Variance-Optimal Hedging in Discrete Time
• Change of filtrations and mean–variance hedging
• scientific article; zbMATH DE number 2237966 (Why is no real title available?)
• Mean square error for the Leland-Lott hedging strategy: convex pay-offs
• Stochastic moment problem and hedging of generalized Black-Scholes options
• Quantile hedging for guaranteed minimum death benefits
• Multi-period Mean–Variance Hedging Problem with Model Risk
• The law of one price in quadratic hedging and mean-variance portfolio selection
• Dynamic programming and mean-variance hedging with partial execution risk
• Explicit formulas for the minimal variance hedging strategy in a martingale case

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