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Variance optimal hedging in discrete time
Schweizer, Martin - University of Bonn, Germany
Persistent link: https://www.econbiz.de/10005028373
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Finance without probabilistic prior assumptions
Riedel, Frank - 2011
endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison …
Persistent link: https://www.econbiz.de/10010319970
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Option hedging for semimartingales
Schweizer, Martin - 1989
Persistent link: https://www.econbiz.de/10000757518
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Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales
Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - National Centre of Competence in Research - Financial … - 2011
We solve the problem of mean-variance hedging for general semimartingale modelsvia stochastic control methods. After proving that the value process of theassociated stochastic control problem has a quadratic structure, we characteriseits three coefficient processes as solutions of semimartingale...
Persistent link: https://www.econbiz.de/10009486968
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Testing the martingale hypothesis for futures prices : implications for hedgers
De Ville de Goyet, Cédric; Dhaene, Geert; Sercu, Piet - In: The journal of futures markets 28 (2008) 11, pp. 1040-1065
Persistent link: https://www.econbiz.de/10003769967
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The optimal martingale measure for investors with exponential utility function
Steiger, Gallus Johannes (contributor) - 2005
Persistent link: https://www.econbiz.de/10003278318
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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Mean square error for the Leland-Lott hedging strategy
Gamys, Moussa; Kabanov, Jurij M. - In: Recent advances in financial engineering : proceedings …, (pp. 1-25). 2009
Persistent link: https://www.econbiz.de/10003871153
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Mean variance hedging in a general jump model
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing - In: Applied mathematical finance 17 (2010) 1/2, pp. 29-57
Persistent link: https://www.econbiz.de/10003975266
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Mean variance hedging in a general jump market
Xiong, Dewen; Kohlmann, Michael - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 789-820
Persistent link: https://www.econbiz.de/10008904324