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http://hdl.handle.net/10419/61765
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| Title: | | A guided tour through quadratic hedging approaches  |
| Authors: | | Schweizer, Martin |
| Issue Date: | | 1999 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,96 |
| Abstract: | | 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. |
| Subjects: | | risk-minimization locally risk-minimizing mean-variance hedging minimal martingale measure variance-optimal martingale measure Föllmer-Schweizer decomposition quadratic hedging criteria incomplete markets |
| JEL: | | G10 C60 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10047021 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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