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 …

study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy … which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …-)hedge, depending on the accepted level of shortfall risk. -- risk management ; stochastic volatility ; shortfall risk ; Hedging …

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …

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 …

currency basket, i.e. a linear combination of foreign currencies. In line with the mean-variance hedging approach, we determine …. The different estimators are compared with profit based criteria. -- exchange rates ; mean-variance hedging ; adaptive …

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 …

hedging derivatives and of intertemporal consumption choice. …