On the mean-variance hedging problem

被引：12
|
作者：
Melnikov, AV [1 ]
Nechaev, ML [1 ]
机构：
[1] RAN, VA Steklov Math Inst, Moscow 117966, Russia
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 1999年 / 43卷 / 04期
关键词：
mean-variance hedging; investment; arbitrage; martingale measure; option;
D O I：
10.1137/S0040585X97977136
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper proposes a new approach to the problem of the "optimal" control assets on an incomplete market. The approach develops the known mean-variance hedging method of Folmer, Sonderman, and Schweizer. Some technical assumptions on the approximating sequence such as the nondegeneracy condition and its elements belonging tu the space L-2 are excluded. We give examples and an interpretation of obtained results which connect them with such key financial-market notions as completeness and arbitrage.
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页码：588 / 603
页数：16
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