A guided tour through quadratic hedging approaches

Arbeitspapier

This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a semimartingale and explain the relations to the Föllmer-Schweizer decomposition and the minimal martingale measure. Finally we study mean-variance hedging, the variance-optimal martingale measure and the connections to closeness properties of spaces of stochastic integrals.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 373 Discussion Paper ; No. 1999,96

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
• Thema: risk-minimization ; locally risk-minimizing ; mean-variance hedging ; minimal martingale measure ; variance-optimal martingale measure ; Föllmer-Schweizer decomposition ; quadratic hedging criteria ; incomplete markets

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Schweizer, Martin
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (wo): Berlin
• (wann): 1999

Weitere Informationen

• Handle: http://hdl.handle.net/10419/61765
• URN: urn:nbn:de:kobv:11-10047021
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ