A Note on Mean-Variance Hedging of Non-Attainable Claims

Kohlmann, Michael; Peisl, Bernhard

A Note on Mean-Variance Hedging of Non-Attainable Claims

Dateien

420_1.pdfGröße: 184.1 KBDownloads: 180

Datum

2000

Autor:innen

Kohlmann, Michael

Peisl, Bernhard

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

A market is described by two correlated asset prices. But only one of them is traded while the contigent claim is a function of both assets. We solve the mean-variance hedging problem completely and prove that the optimal strategy consists of a modified pure hedge expressible in terms of the obervation process and Merton-type investment.

Fachgebiet (DDC)

510 Mathematik

Schlagwörter

backward stochastic differential equations, mean variance hedging, nontradable claims

Zitieren

ISO 690

KOHLMANN, Michael, Bernhard PEISL, 2000. A Note on Mean-Variance Hedging of Non-Attainable Claims

BibTex

@techreport{Kohlmann2000MeanV-557,
  year={2000},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={A Note on Mean-Variance Hedging of Non-Attainable Claims},
  number={2000/06},
  author={Kohlmann, Michael and Peisl, Bernhard}
}

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Universitätsbibliographie

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