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dc.contributor.authorThierbach, Franken
dc.date.accessioned2009-01-29T15:10:05Z-
dc.date.available2009-01-29T15:10:05Z-
dc.date.issued2002-
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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x11/2002en
dc.subject.jelG12en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordoption pricingen
dc.subject.keywordmean variance hedgingen
dc.subject.keywordincomplete marketsen
dc.subject.keywordvarianceoptimal martingale measureen
dc.subject.stwHedgingen
dc.subject.stwOptionspreistheorieen
dc.subject.stwPortfolio-Managementen
dc.subject.stwTheorieen
dc.subject.stwmean variance approachen
dc.titleMean-Variance Hedging under Additional Market Information-
dc.typeWorking Paperen
dc.identifier.ppn374123845en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:112002-

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