Local Risk-Minimization under the Benchmark Approach

Francesca Biagini, Alessandra Cretarola and Eckhard Platen ()

Papers from arXiv.org

Abstract: We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world than the classical methodology.

Date: 2012-10
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1210.2337

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