Mean-Variance Hedging for Discontinuous Semimartingales

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)435-452
ページ数18
ジャーナルTokyo Journal of Mathematics
25
2
DOI
出版ステータスPublished - 2002
外部発表はい

ASJC Scopus subject areas

  • 数学 (全般)

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