Mean-Variance Hedging via Stochastic Control and BSDEs for General Semimartingales

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Author
Jeanblanc, Monique
Mania, Michael
Santacroce, Marina
Schweizer, Martin
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Date
2012-12
Type
  • Journal Article
Publication status
published
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Journal / series
The annals of applied probability
Volume
22(6)
Pages / Article No.
2388 - 2428
Publisher
Institute of Mathematical Statistics
Subject
Mean-variance hedging; Stochastic control; Backward stochastic differential equations; Semimartingales; Mathematical finance; Variance-optimal martingale measure
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin  
Notes
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Citations
Cited 19 times in Web of Science
Cited 23 times in Scopus
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yes
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