Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing - In: Applied Mathematical Finance 17 (2010) 1, pp. 29-57
We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an [image omitted]-valued quasi-left continuous semimartingale with bounded jumps. We relate the variance-optimal martingale measure (VOMM) to a backward semimartingale equation (BSE) and show...