The aim of this paper is to give an extension of the mean-variance hedging problem to the $\mathcal{L}^p$-setting, where 1 p ∞. Remark that the mean-variance hedging is corresponding to the case where p = 2. Firstly, we prove that the unique existence of the optimal hedging strategy in the...

Mean-variance hedging for the discontinuous semimartingale case is obtained under some assumptions related to the variance-optimal martingale measure. In the present paper, two remarks on it are discussed. One is an extension of Hou–Karatzas' duality approach from the continuous case to...

We propose, in this paper, a new valuation method for contingent claims, which approximates to the exponential utility indifference valuation. In particular, we treat both ask and bid valuations. In the definition of the exponential utility indifference valuation, we require strong integrability...