Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets

Frédéric Abergel () and Nicolas Millot
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Frédéric Abergel: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec
Nicolas Millot: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec

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Abstract: Local risk minimization is studied for the hedging of derivatives - a general (non quadratic) risk criterion is studied, and the optimality conditions are derived.

Date: 2011-05-24
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00620843
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Citations: View citations in EconPapers (6)

Published in SIAM Journal on Financial Mathematics, 2011, 2 (1), pp. 342-356. ⟨10.1137/100803079⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00620843

DOI: 10.1137/100803079

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