Bounds on mean variance hedging in jump diffusion

DOI10.4064/AM2462-6-2023MaRDI QIDQ6185522zbMATH OpenOpenAlexFDO

Authors

Publication date 29 January 2024

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am2462-6-2023

zbMATH Keywords

backward stochastic differential equationmean variance hedging

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10) Optimal stochastic control (93E20)

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• Mean Variance Hedging in a General Jump Model
• Mean-Variance Hedging When There Are Jumps
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• SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
• Mean variance hedging in a general jump market

Cites work

• Backward stochastic differential equations with jumps and related nonlinear expectations
• DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS¹
• Discovery of the maximum principle
• General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
• Incompleteness of markets driven by a mixed diffusion
• Mean-variance hedging via stochastic control and BSDEs for general semimartingales
• Mean-Variance Hedging When There Are Jumps
• Option hedging for semimartingales
• Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
• The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims

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