Zhou, Qing; Wu, Weixing; Wang, Zengwu - In: Insurance: Mathematics and Economics 42 (2008) 2, pp. 609-616
The paper studies the cooperative hedging problem of contingent claims in an incomplete financial market. Firstly we give the characterization of the optimal cooperative hedging strategy for the Black-Scholes model and the Volatility Jump model explicitly, then we consider the problem of...