Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22822
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dc.contributor.authorThierbach, Franken_US
dc.date.accessioned2009-01-29T15:10:05Z-
dc.date.available2009-01-29T15:10:05Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/22822-
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.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aBonn econ discussion papers |x2002,11en_US
dc.subject.jelG12en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_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.stwHedgingen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwTheorieen_US
dc.subject.stwmean variance approachen_US
dc.titleMean-Variance Hedging under Additional Market Informationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn374123845en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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