Mean-variance Hedging in the Discontinuous Case

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The results on the mean-variance hedging problem in Gouriéroux, Laurent and Pham (1998), Rheinländer and Schweizer (1997) and Arai (2005) are extended to discontinuous semimartingale models. When the numéraire method is used, we only assume the Radon-Nikodym derivative of the variance-optimal signed martingale measure (VSMM) is non-zero almost surely (but may be strictly negative). When discussing the relation between the solutions and the Galtchouk-Kunita-Watanabe decompositions under the VSMM, we only assume the VSMM is equivalent to the reference probability.
22pages

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Probability, Optimization and Control, Computational Finance, 91B28; 60H05

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http://salesiana.dossiersoluciones.com/handle/123456789/210179

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0607775
 http://arxiv.org/abs/math/0607775

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arXiv