TY - JOUR

T1 - Mean-Variance Hedging for Discontinuous Semimartingales

AU - Arai, Takuji

N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.

PY - 2002

Y1 - 2002

N2 - Mean-variance hedging is well-known as one of hedging methods for incomplete markets. Our end is leading to mean-variance hedging strategy for incomplete market models whose asset price process is given by a discontinuous semimartingale and whose mean-variance trade-off process is not deterministic. In this paper, on account, we focus on this problem under the following assumptions: (1) the local martingale part of the stock price process is a process with independent increments; (2) a certain condition restricting the number and the size of jumps of the asset price process is satisfied; (3) the mean-variance trade-off process is uniformly bounded; (4) the minimal martingale measure coincides with the variance-optimal martingale measure.

AB - Mean-variance hedging is well-known as one of hedging methods for incomplete markets. Our end is leading to mean-variance hedging strategy for incomplete market models whose asset price process is given by a discontinuous semimartingale and whose mean-variance trade-off process is not deterministic. In this paper, on account, we focus on this problem under the following assumptions: (1) the local martingale part of the stock price process is a process with independent increments; (2) a certain condition restricting the number and the size of jumps of the asset price process is satisfied; (3) the mean-variance trade-off process is uniformly bounded; (4) the minimal martingale measure coincides with the variance-optimal martingale measure.

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U2 - 10.3836/tjm/1244208863

DO - 10.3836/tjm/1244208863

M3 - Article

AN - SCOPUS:85035302554

VL - 25

SP - 435

EP - 452

JO - Tokyo Journal of Mathematics

JF - Tokyo Journal of Mathematics

SN - 0387-3870

IS - 2

ER -