Mean-Variance Hedging for General Claims

Martin Schweizer

doi:10.1214/aoap/1177005776

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Home > Journals > Ann. Appl. Probab. > Volume 2 > Issue 1 > Article

February, 1992 Mean-Variance Hedging for General Claims

Martin Schweizer

Ann. Appl. Probab. 2(1): 171-179 (February, 1992). DOI: 10.1214/aoap/1177005776

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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.

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Martin Schweizer. "Mean-Variance Hedging for General Claims." Ann. Appl. Probab. 2 (1) 171 - 179, February, 1992. https://doi.org/10.1214/aoap/1177005776