Metadata only
Autor(in)
Datum
2008Typ
- Conference Paper
ETH Bibliographie
yes
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Abstract
One of the earliest concepts for hedging and pricing in incomplete financial markets has been the quadratic criterion of local risk-minimization. However, definitions and theory have so far been established only for the case of a single (one-dimensional) risky asset. We extend the approach to a general multidimensional setting and prove that the basic martingale characterization result for locally risk-minimizing strategies still holds true. In comparison with existing literature, the self-contained presentation is more streamlined, and a number of earlier imposed technical conditions are no longer needed. As a minor extension, we show how payment streams (instead of final payoffs only) can be handled as well. Mehr anzeigen
Publikationsstatus
publishedExterne Links
Herausgeber(in)
Buchtitel
Advances in Mathematics of FinanceZeitschrift / Serie
Banach Center PublicationsBand
Seiten / Artikelnummer
Verlag
Institute of Mathematics, Polish Academy of SciencesKonferenz
Thema
Local risk-minimization; Quadratic hedging; Incomplete markets; Locally risk-minimizing; Föllmer-Schweizer decomposition; Payment streams; Structure condition; Mean-variance tradeoffOrganisationseinheit
03658 - Schweizer, Martin / Schweizer, Martin
ETH Bibliographie
yes
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