Publikation: Mean variance hedging in a general jump model
Lade...
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2010
Autor:innen
Herausgeber:innen
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
URI (zitierfähiger Link)
DOI (zitierfähiger Link)
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Sammlungen
Core Facility der Universität Konstanz
Titel in einer weiteren Sprache
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Applied mathematical finance. 2010, 17(1), pp. 29-57. Available under: doi: 10.1080/13504860903075605
Zusammenfassung
We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an [image omitted]-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 equivalent to the original measure P if and only if the BSE has a solution. For a general contingent claim, we derive an explicit solution of the optimal strategy and the optimal cost of the mean-variance hedging by means of another BSE and an appropriate predictable process δ
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
backward semimartingale equations, Mean-variance hedging, variance-optimal martingale measure, speculation, investments, securities
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690
KOHLMANN, Michael, Dewen XIONG, Zhongxing YE, 2010. Mean variance hedging in a general jump model. In: Applied mathematical finance. 2010, 17(1), pp. 29-57. Available under: doi: 10.1080/13504860903075605BibTex
@article{Kohlmann2010varia-763,
year={2010},
doi={10.1080/13504860903075605},
title={Mean variance hedging in a general jump model},
number={1},
volume={17},
journal={Applied mathematical finance},
pages={29--57},
author={Kohlmann, Michael and Xiong, Dewen and Ye, Zhongxing}
}RDF
<rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/763">
<dc:creator>Xiong, Dewen</dc:creator>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dcterms:issued>2010</dcterms:issued>
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:48:47Z</dc:date>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
<dc:contributor>Xiong, Dewen</dc:contributor>
<dcterms:bibliographicCitation>Publ. in: Applied mathematical finance 17 (2010), 1, pp. 29-57</dcterms:bibliographicCitation>
<dc:creator>Kohlmann, Michael</dc:creator>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:48:47Z</dcterms:available>
<dc:creator>Ye, Zhongxing</dc:creator>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dc:contributor>Kohlmann, Michael</dc:contributor>
<dc:language>eng</dc:language>
<dcterms:title>Mean variance hedging in a general jump model</dcterms:title>
<dcterms:abstract xml:lang="eng">We consider the mean-variance hedging of a contingent claim H when the discounted price process S is an [image omitted]-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 equivalent to the original measure P if and only if the BSE has a solution. For a general contingent claim, we derive an explicit solution of the optimal strategy and the optimal cost of the mean-variance hedging by means of another BSE and an appropriate predictable process δ</dcterms:abstract>
<dc:rights>terms-of-use</dc:rights>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<dc:contributor>Ye, Zhongxing</dc:contributor>
<bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/763"/>
</rdf:Description>
</rdf:RDF>Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
