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- M. Mania
- A. Razmadze Mathematical Institute, Georgian Academy of Sciences, 1, M. Aleksidze St., Tbilisi 0193, Georgia
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- R. Tevzadze
- Institute of Cybernetics, Georgian Academy of Sciences, 5, S. Euli St., Tbilisi 0186, Georgia
書誌事項
- 公開日
- 2003-11
- DOI
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- 10.1142/s0219024903002122
- 公開者
- World Scientific Pub Co Pte Lt
この論文をさがす
説明
<jats:p> We consider a problem of minimization of a hedging error, measured by a positive convex random function, in an incomplete financial market model, where the dynamics of asset prices is given by an R<jats:sup>d</jats:sup>-valued continuous semimartingale. Under some regularity assumptions we derive a backward stochastic PDE for the value function of the problem and show that the strategy is optimal if and only if the corresponding wealth process satisfies a certain forward-SDE. As an example the case of mean-variance hedging is considered. </jats:p>
収録刊行物
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- International Journal of Theoretical and Applied Finance
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International Journal of Theoretical and Applied Finance 06 (07), 663-692, 2003-11
World Scientific Pub Co Pte Lt
