On mean-variance hedging of bond options with stochastic risk premium factor

DOI10.1007/S00245-014-9248-2zbMath1303.91164OpenAlexW2084143542MaRDI QIDQ481005

Shin Ichi Aihara, Arunabha Bagchi, Suresh K. Kumar

Publication date: 12 December 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9248-2

zbMATH Keywords

Kalman filtermean-variance hedgingindifference priceinfinite-dimensional HMJstochastic risk premium

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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• Mean-Variance Hedging Under Partial Information
• MEAN-VARIANCE HEDGING FOR PARTIALLY OBSERVED DRIFT PROCESSES
• Financial Modelling with Jump Processes
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Stochastic Equations in Infinite Dimensions

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