Mean variance hedging in a general jump model


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KOHLMANN, Michael, Dewen XIONG, Zhongxing YE, 2010. Mean variance hedging in a general jump model. In: Applied mathematical finance. 17(1), pp. 29-57. Available under: doi: 10.1080/13504860903075605

@article{Kohlmann2010varia-763, title={Mean variance hedging in a general jump model}, year={2010}, doi={10.1080/13504860903075605}, number={1}, volume={17}, journal={Applied mathematical finance}, pages={29--57}, author={Kohlmann, Michael and Xiong, Dewen and Ye, Zhongxing} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dc:contributor>Kohlmann, Michael</dc:contributor> <dc:contributor>Xiong, Dewen</dc:contributor> <dc:rights>terms-of-use</dc:rights> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:rights rdf:resource=""/> <dc:date rdf:datatype="">2011-03-22T17:48:47Z</dc:date> <dc:creator>Ye, Zhongxing</dc:creator> <dc:language>eng</dc:language> <dcterms:available rdf:datatype="">2011-03-22T17:48:47Z</dcterms:available> <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> <dcterms:isPartOf rdf:resource=""/> <bibo:uri rdf:resource=""/> <dcterms:bibliographicCitation>Publ. in: Applied mathematical finance 17 (2010), 1, pp. 29-57</dcterms:bibliographicCitation> <dspace:isPartOfCollection rdf:resource=""/> <dc:creator>Xiong, Dewen</dc:creator> <dc:contributor>Ye, Zhongxing</dc:contributor> <dcterms:issued>2010</dcterms:issued> <dcterms:title>Mean variance hedging in a general jump model</dcterms:title> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <dc:creator>Kohlmann, Michael</dc:creator> </rdf:Description> </rdf:RDF>

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