The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in … function is evaluated using the martingale approach. The equivalent martingale measure is introduced in a way that the Markov … markets ; martingale measure ; generalized self-financing strategy ; attainability ; self-financing in mean …

endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison …-dimensional linear programming problem. -- Probability-Free Finance ; Fundamental Theorem of Asset Pricing ; Full-Support Martingale …

We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are … duality results obtained previously by other authors via ad hoc methods in specific frameworks. mean-variance ; hedging …

decomposed into a sum with two opportunity processes L± appearing as coefficients. The martingale optimality principle translates … in the unconstrained case. Markowitz problem ; cone constraints ; portfolio selection ; mean-variance ; hedging …, stochastic control ; semimartingales ; BSDEs ; martingale optimality principle ; opportunity process ; E-martingales ; linear …

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 …