Mean-Variance Hedging for General Claims
Schweizer, Martin
Ann. Appl. Probab., Tome 2 (1992) no. 4, p. 171-179 / Harvested from Project Euclid
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We consider a hedger with a mean-variance objective who faces a random loss at a fixed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introducing the intrinsic value process of a contingent claim.
Publié le : 1992-02-14
Classification:  Hedging,  mean-variance criterion,  continuous trading,  option valuation,  contingent claims,  equivalent martingale measures,  60G35,  90A09 
@article{1177005776,
     author = {Schweizer, Martin},
     title = {Mean-Variance Hedging for General Claims},
     journal = {Ann. Appl. Probab.},
     volume = {2},
     number = {4},
     year = {1992},
     pages = { 171-179},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177005776}
}

Schweizer, Martin. Mean-Variance Hedging for General Claims. Ann. Appl. Probab., Tome 2 (1992) no. 4, pp.  171-179. http://gdmltest.u-ga.fr/item/1177005776/