RISKY OPTIONS SIMPLIFIED

DOI10.1142/S0219024999000054MaRDI QIDQ3523514zbMATH OpenOpenAlexFDO

Authors 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

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Cites work

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

Cited in

(3)

• The existence of the risk-efficient options
• Simplified mean-variance portfolio optimisation
• From actuarial to financial valuation principles

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