دورية أكاديمية
2001): A Guided Tour through Quadratic Hedging Approaches
| العنوان: | 2001): A Guided Tour through Quadratic Hedging Approaches |
|---|---|
| المؤلفون: | Martin Schweizer, Technische Universität Berlin |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.math.ethz.ch/~mschweiz/Files/survey_SFB.pdfTest. |
| بيانات النشر: | Cambridge University Press |
| المجموعة: | CiteSeerX |
| مصطلحات موضوعية: | decomposition, quadratic hedging criteria, incomplete markets |
| الوصف: | This paper gives an overview of results and developments in the area of pricing and hedging contingent claims in an incomplete market by means of a quadratic criterion. We first present the approach of risk-minimization in the case where the underlying discounted price process X is a local martingale. We then discuss the extension to local risk-minimization when X is a semimartingale and explain the relations to the Föllmer-Schweizer decomposition and the minimal martin-gale measure. Finally we study mean-variance hedging, the variance-optimal martingale measure and the connections to closedness properties of spaces of stochastic integrals. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| العلاقة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.601.3509Test; http://www.math.ethz.ch/~mschweiz/Files/survey_SFB.pdfTest |
| الإتاحة: | http://www.math.ethz.ch/~mschweiz/Files/survey_SFB.pdfTest |
| حقوق: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.CFD5E765 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |