Mean-variance Hedging in the Discontinuous Case

Simple item page
dc.creatorXia, Jianming
dc.date2006-07-30
dc.date.accessioned2026-07-07T12:11:18Z
dc.date.available2026-07-07T12:11:18Z
dc.descriptionThe 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.
dc.description22pages
dc.identifierhttps://arxiv.org/abs/math/0607775
dc.identifierhttp://arxiv.org/abs/math/0607775
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210179
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectComputational Finance
dc.subject91B28; 60H05
dc.titleMean-variance Hedging in the Discontinuous Case
dc.typetext

Files

Collections

arXiv