RISKY OPTIONS SIMPLIFIED

DOI10.1142/S0219024999000054zbMath1153.91602OpenAlexW2075490169MaRDI QIDQ3523514

Martin Schweizer

Publication date: 3 September 2008

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

Full work available at URL: https://doi.org/10.1142/s0219024999000054

zbMATH Keywords

option pricingmean-variance hedgingminimal martingale measurevariance-optimal martingale measurerisky options

Mathematics Subject Classification ID

Related Items (2)

Simplified mean-variance portfolio optimisation ⋮ From actuarial to financial valuation principles

Cites Work

• Weighted norm inequalities and hedging in incomplete markets
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• The variance-optimal martingale measure for continuous processes
• Approximation pricing and the variance-optimal martingale measure
• Mean-Variance Hedging and Numeraire
• Pricing Risky Options Simply
• On Minimizing Risk in Incomplete Markets Option Pricing Models
• An Explicit Formula for Option Pricing in Discrete Incomplete Markets
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
• On Quadratic Cost Criteria for Option Hedging
• Variance-Optimal Hedging in Discrete Time
• Option pricing: A simplified approach

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