English, Article edition: SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES TAKUJI ARAI

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Physical Description
  • article
Language
  • English

Edition details

Title
  • SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
Author
  • TAKUJI ARAI
Physical Description
  • article
Notes
  • Mean-variance hedging for the discontinuous semimartingale case is obtained under some assumptions related to the variance-optimal martingale measure. In the present paper, two remarks on it are discussed. One is an extension of HouâKaratzas' duality approach from the continuous case to discontinuous. Another is to prove that there is the consistency with the case where the mean-variance trade-off process is continuous and deterministic. In particular, one-dimensional jump diffusion models are discussed as simple examples.
  • Mean-variance hedging, variance-optimal martingale measure, jump diffusion
  • RePEc:wsi:ijtafx:v:08:y:2005:i:04:p:425-443
Language
  • English
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