The Annals of Applied Probability

Mean-Variance Hedging for General Claims

Martin Schweizer

Full-text: Open access

Abstract

We consider a hedger with a mean-variance objective who faces a random loss at a fixed time. The size of this loss depends quite generally on two correlated asset prices, while only one of them is available for hedging purposes. We present a simple solution of this hedging problem by introducing the intrinsic value process of a contingent claim.

Article information

Source
Ann. Appl. Probab., Volume 2, Number 1 (1992), 171-179.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1177005776

Digital Object Identifier
doi:10.1214/aoap/1177005776

Mathematical Reviews number (MathSciNet)
MR1143398

Zentralblatt MATH identifier
0742.60042

JSTOR
links.jstor.org

Subjects
Primary: 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx]
Secondary: 90A09

Keywords
Hedging mean-variance criterion continuous trading option valuation contingent claims equivalent martingale measures

Citation

Schweizer, Martin. Mean-Variance Hedging for General Claims. Ann. Appl. Probab. 2 (1992), no. 1, 171--179. doi:10.1214/aoap/1177005776. https://projecteuclid.org/euclid.aoap/1177005776


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