Mean-variance hedging for continuous processes: New proofs and examples

DOI10.1007/s007800050037zbMath0894.90023OpenAlexW2088091526MaRDI QIDQ1381310

Huyên Pham, Martin Schweizer, Thorsten Rheinländer

Publication date: 7 September 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/66256

zbMATH Keywords

stochastic integralsmean-variance hedgingFöllmer-Schweizer decompositionminimal martingale measurevariance-optimal martingale measure

Mathematics Subject Classification ID

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