Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed … Cvitanic [3] on hedging problems with constrained portfolios. …

This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump … determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … derive explicit formulas for this so-called efficient or quantile hedging strategy for a European call option. We then …

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an … mean-variance hedging, the variance-optimal martingale measure and the connections to closeness properties of spaces of … stochastic integrals. -- risk-minimization ; locally risk-minimizing ; mean-variance hedging ; minimal martingale measure …

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general … parameter is sufficiently small. -- option pricing ; hedging ; transaction costs ; locally risk-minimizing strategies ; mean …