Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012
We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After … be used to describe the optimal trading strategy for each conditional mean-variance hedging problem. For comparison with …. mean-variance hedging ; stochastic control ; backward stochastic differential equations ; semimartingales ; mathematical …