Explicit formulas for the minimal variance hedging strategy in a martingale case

DOI10.1007/S10203-009-0097-4MaRDI QIDQ965780zbMATH OpenOpenAlexFDO

Authors Flavio Angelini, Stefano Herzel

Publication date 26 April 2010

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-009-0097-4

zbMATH Keywords

contingent claimhedgingincomplete marketsvariance-optimal hedging

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A guided tour through quadratic hedging approaches
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Hedging Derivative Securities and Incomplete Markets: An ε-Arbitrage Approach
• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• Measuring the error of dynamic hedging: a Laplace transform approach
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
• Variance-optimal hedging for processes with stationary independent increments
• Variance-Optimal Hedging in Discrete Time

Cited in

(7)

• Discrete hedging in the mean/variance model for European call options
• Minimax hedging strategy
• Minimal variance hedging in multicurve interest rate modeling
• An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
• scientific article; zbMATH DE number 2036016 (Why is no real title available?)
• Learning minimum variance discrete hedging directly from the market
• A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus

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