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dc.contributor.authorThierbach, Franken_US
dc.description.abstractIn this paper we analyse the mean-variance hedging approach in an incomplete market under the assumption of additional market information, which is represented by a given, finite set of observed prices of non-attainable contingent claims. Due to no-arbitrage arguments, our set of investment opportunities increases and the set of possible equivalent martingale measures shrinks. Therefore, we obtain a modified mean-variance hedging problem, which takes into account the observed additional market information. Solving this by means of the techniques developed by Gourieroux, Laurent and Pham (1998), we obtain an explicit description of the optimal hedging strategy and an admissible, constrained variance-optimal signed martingale measure, that generates both the approximation price and the observed option prices.en_US
dc.relation.ispartofseriesBonn econ discussion papers 2002,11en_US
dc.subject.keywordoption pricingen_US
dc.subject.keywordmean variance hedgingen_US
dc.subject.keywordincomplete marketsen_US
dc.subject.keywordvarianceoptimal martingale measureen_US
dc.subject.stwmean variance approachen_US
dc.titleMean-Variance Hedging under Additional Market Informationen_US
dc.typeWorking Paperen_US
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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