ℒp-Projections of random variables and its application to finance

研究成果: Article査読

抄録

The aim of this paper is to give an extension of the mean-variance hedging problem to the $ ℒp-setting, where 1 < p < ∞. Remark that the mean-variance hedging is corresponding to the case where p = 2. Firstly, we prove that the unique existence of the optimal hedging strategy in the ℒp-sense, which is the ℒp-projection of the underlying contingent claim onto a suitable space of stochastic integrations. Next, we obtain its feedback representation under some additional assumptions. Moreover, the valuation problem induced by the ℒp-projections naturally is discussed.

本文言語English
ページ(範囲)869-888
ページ数20
ジャーナルInternational Journal of Theoretical and Applied Finance
11
8
DOI
出版ステータスPublished - 2008 12

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(全般)

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