Showing 1 - 5 of 5
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...
Persistent link: https://www.econbiz.de/10008609603
Persistent link: https://www.econbiz.de/10003975266
Persistent link: https://www.econbiz.de/10008904324
Persistent link: https://www.econbiz.de/10009271669
Persistent link: https://www.econbiz.de/10009298440