TY - JOUR
T1 - An extension of mean-variance hedging to the discontinuous case
AU - Arai, Takuji
PY - 2005/1/1
Y1 - 2005/1/1
N2 - Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.
AB - Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.
KW - Incomplete market
KW - Mean-variance hedging
KW - Reverse Hölder inequality
KW - Variance-optimal martingale measure
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U2 - 10.1007/s00780-004-0136-5
DO - 10.1007/s00780-004-0136-5
M3 - Article
AN - SCOPUS:11144314171
VL - 9
SP - 129
EP - 139
JO - Finance and Stochastics
JF - Finance and Stochastics
SN - 0949-2984
IS - 1
ER -