Møller, Thomas - In: Finance and Stochastics 5 (2001) 4, pp. 419-446
Föllmer and Sondermann (1986) proved the existence of a unique admissible risk-minimizing hedging strategy for any square-integrable contingent claim H in the martingale case. We extend this approach to the situation where the hedger's liabilities are described by a general payment process A...