Arbeitspapier
A Note on Mean-Variance Hedging of Non-Attainable Claims
A market is described by two correlated asset prices. But only one of them is traded while the contingent claim is a function of both assets. We solve the mean-variance hedging prob- lem completely and prove that the optimal strategy consists of a modified pure hedge expressible in terms of the obervation process and a Merton-type investment.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 00/06
- Klassifikation
-
Wirtschaft
- Thema
-
Börsenkurs
Optionspreistheorie
Hedging
Portfolio-Management
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kohlmann, Michael
Peisl, Bernhard
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-4207
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kohlmann, Michael
- Peisl, Bernhard
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2000
Ähnliche Objekte (12)
A Note on Mean-Variance Hedging of Non-Attainable Claims
Mean-Variance Hedging for Continuous Processes
Mean-Variance Hedging under Additional Market Information
Mean variance hedging : a stochastic LQ control approach
On the structure of general mean-variance hedging strategies
Mean-variance hedging for continuous processes: New proofs and examples
Mean variance hedging in the presence of additionally observed market prices
Mean-Variance hedging and optimal investment in Heston's model with correlation
On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
Semistatic and sparse variance‐optimal hedging
Effect of variance swap in hedging volatility risk
Variance-Optimal Hedging for Time-Changed Lévy Processes
A Note on Mean-Variance Hedging of Non-Attainable Claims
Mean-Variance Hedging for Continuous Processes
Mean-Variance Hedging under Additional Market Information
Mean variance hedging : a stochastic LQ control approach
On the structure of general mean-variance hedging strategies
Mean-variance hedging for continuous processes: New proofs and examples
Mean variance hedging in the presence of additionally observed market prices
Mean-Variance hedging and optimal investment in Heston's model with correlation
On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
Semistatic and sparse variance‐optimal hedging
Effect of variance swap in hedging volatility risk
Variance-Optimal Hedging for Time-Changed Lévy Processes
A Note on Mean-Variance Hedging of Non-Attainable Claims
Mean-Variance Hedging for Continuous Processes
Mean-Variance Hedging under Additional Market Information
Mean variance hedging : a stochastic LQ control approach
On the structure of general mean-variance hedging strategies
Mean-variance hedging for continuous processes: New proofs and examples
Mean variance hedging in the presence of additionally observed market prices
Mean-Variance hedging and optimal investment in Heston's model with correlation
On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
Semistatic and sparse variance‐optimal hedging
Effect of variance swap in hedging volatility risk