Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85166
Authors: 
Kohlmann, Michael
Peisl, Bernhard
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/06
Abstract: 
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.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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