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.

引用

页码：588 / 603

页数：16

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