Mean-variance hedging for continuous processes: New proofs and examples
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Publication:1381310
DOI10.1007/s007800050037zbMath0894.90023MaRDI QIDQ1381310
Martin Schweizer, Huyên Pham, 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
stochastic integrals; mean-variance hedging; Föllmer-Schweizer decomposition; minimal martingale measure; variance-optimal martingale measure
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