Mean Variance Hedging in a General Jump Model

We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an -valued quasi-left continuous semimartingale with bounded jumps. We relate the variance-optimal martingale measure (VOMM) to a backward semimartingale equation (BSE) and show that the VOMM is equi...

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Veröffentlicht in:	Applied mathematical finance. 2010-03, Vol.17 (1), p.29-57
Hauptverfasser:	Kohlmann, Michael, Xiong, Dewen, Ye, Zhongxing
Format:	Artikel
Sprache:	eng
Schlagworte:	backward semimartingale equations Hedging Mean-variance hedging Optimization Stochastic models Stock prices Studies variance-optimal martingale measure
Online-Zugang:	Volltext
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