An extension of mean-variance hedging to the discontinuous case

Takuji Arai ()

Finance and Stochastics, 2005, vol. 9, issue 1, 129-139

Abstract: Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure. Copyright Springer-Verlag Berlin/Heidelberg 2005

Keywords: Mean-variance hedging; incomplete market; variance-optimal martingale measure; reverse Hölder inequality (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s00780-004-0136-5

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