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 …

The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a … martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only assumed … to be a continuous function of time. The hedging problem is to construct a minimal super-hedging portfolio that consists …