论文信息 - An extension of mean-variance hedging to the discontinuous case

An extension of mean-variance hedging to the discontinuous case

Abstract.Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.

Takuji Arai | Takuji Arai

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