Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - Finance Discipline Group, Business School - 2012
We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization … method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the … proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world …