, applications are given to the mean-variance hedging problem with random market conditions, and an explicit characterization for the … optimal hedging portfolio is given in terms of the adapted solution of the associated backward stochastic Riccati differential …

both the classical and the Föllmer-Schweizer hedging case. …

applied to solve the mean-variance hedging problem with stochastic market conditions. …

option hedging errors. We derive a closed-form solution for the option hedging error and its expecta- tion in a stochastic …, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive … closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to …

function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists …

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black …) hedging the total risk of each option separately, the correct hedge portfolio in discrete time eliminates linear (delta) as … indefinitely. This ties the literature on option pricing and hedging closer together with the APT literature in its focus on …

In this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional … measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed … obtain an explicit description of the optimal hedging strategy and an admissible, constrained variance-optimal signed …

, is the risk management of the embedded options by a tractable and realistic hedging strategy. The long maturity of life …